The school is organized through three different initiatives:
- Four minicourses
- Workshops with students and participants to the school on developing research ideas.
- Albert Diaz Guilera, Universitat de Barcelona (12 hours): Complex networks foundations
- Tomaso Aste UCL, London (6 hours): Information filtering networks for socio-economic systems
- Matteo Matteucci, Politecnico di Mialno (12 hours): Introduction to neural networks: from theory to practice
- Josef Teichmann, ETH Zurich (6 hours) (TBC)
- Christoffer Kok, European Central Bank, Contagion modelling at the ECB: analytical frameworks and policy usage
- Paolo Giudici, Università di Pavia, Network based credit risk models for peer to peer lending.
- Andrea Prampolini, Intesa Sanpaolo, Limit order book simulation with interactive agents
- other talks to be defined
to be defined
Content of minicourses
- Albert Diaz Guilera (12 hours)
Complex networks foundations
– Local characterization
– Global characterization
– Models (Erdos-Renyi, Watts-Strogatz, Barabasi-Albert, …)
– Communities and more complex structures
Filippo Menczer, Santo Fortunato, Clayton Davis (2020) A First Course in Network Science, Cambridge University Press.
- Matteo Matteucci (12 hours)
Introduction to neural networks: from theory to practice
– Intro to neural networks & Feed forward neural networks (2h)
– Learning via backpropagation (while dealing with overfitting) (2h)
– Intro to Keras and neural networks coding (2h)
– Recurrent Neural Networks, vanishing gradient e long short-term memories (2)
– Recurrent neural networks training in Keras (2h)
– Deep Learning introduction (2h)
Christopher M. Bishop, Neural Networks for Pattern Recognition, Oxford University Press, 1996
Ian Goodfellow, Yoshua Bengio, Aaron Courville, Deep Learning, The MIT Press, 2016
- Tomaso Aste (6 hours course)
Information filtering networks for socio-economic systems
We live in a complex world where information is hard to process and the consequences of our decisions are difficult to predict. Humans, have learned to navigate quite efficiently this complexity. Mathematics, statistics and machines are far less capable. I will show how information filtering networks can help to understand and model this complexity.
In this lectures we will learn:
– what information filtering networks are
– how can we can build them
– how can we use them for characterization of socio-economic systems
– how can we use them for probabilistic modeling
– how can we apply them to stress testing, investment strategies and portfolio construction.
Pseudo-codes will be introduced and examples in matlab and/or python will be shared and run in class to learn form examples how to build information filtering networks such as PMFG, TMFG, MFCF [1,2,3] and how combine them with graphical modeling methodologies (LoGo)  and tackle problems of practical relevance [5,6].
Tumminello, Michele, Tomaso Aste, Tiziana Di Matteo, and Rosario N. Mantegna. “A tool for filtering information in complex systems.” Proceedings of the National Academy of Sciences 102, no. 30 (2005): 10421-10426.
Massara, Guido Previde, Tiziana Di Matteo, and Tomaso Aste. “Network filtering for big data: Triangulated maximally filtered graph.” Journal of complex Networks 5, no. 2 (2016): 161-178.
Massara, Guido Previde, and Tomaso Aste. “Learning clique forests.” arXiv preprint arXiv:1905.02266 (2019).
Barfuss, Wolfram, Guido Previde Massara, Tiziana Di Matteo, and Tomaso Aste. “Parsimonious modeling with information filtering networks.” Physical Review E 94, no. 6 (2016): 062306.
Procacci, Pier Francesco, and Tomaso Aste. “Forecasting market states.” Quantitative Finance 19, no. 9 (2019): 1491-1498.
Aste, Tomaso. “Stress testing and systemic risk measures using multivariate conditional probability.” Available at SSRN 3575512 (2020).