4 Giugno, 2013 17:00

Beta-Arbitrage Strategies: when do they work, and why ?

Gianluca Oderda, Head of Quantitative Investments di ERSEL Asset management

Aula Seminari III piano

abstract

abstract

Contrary to what traditional asset pricing would imply, a strategy that bets against beta, i.e. long in low beta stocks and short in high beta stocks, tends to out-perform the market. This puzzling empirical fact can be explained through the concept of relative arbitrage. Considering a market in which diversity is maintained, i.e. no single stock can dominate the entire market, we show that beta-arbitrage strategies out-perform the market portfolio with unit probability in finite time. We use the theoretical decomposition of beta-arbitrage excess return to provide empirical support to our explanation on equity country indices, equity sectors and individual stocks. Finally we show how to construct optimal beta-arbitrage strategies that maximize the expected return relative to a given benchmark

3 Giugno, 2013 11:00 oclock

Reduce order technique in Nuclear Physics

Enrico Marco Ricotti , Alberto Sartori, Department of Energy, CeSNEF- Nuclear Engineering Division Politecnico di Milano

Aula Seminari VI PIANO Dipartimento di Matematica, Politecnico di Milano

abstract

abstract

The talk deals with a reduced order model based on proper orthogonal decomposition (POD) applied to simulating the multi-group time-dependent neutron diffusion equation for TRIGA Mark II reactor of the University of Pavia. This real-time technique reduces the computational effort associated to the direct simulation for each perturbed neutron diffusion equation. More precisely, the reduction space is constructed from spatial solutions (snapshots) of the tationary multi-group parametrized generalized eigenvalue problem that is associated to the main problem. The smallest positive real eigenvalue of the problem contains valuable information about the status of the fission chain reaction in the nuclear reactor. The numerical experiments will be presented to demonstrate the ability to predict efficiently both the distribution of neutronic flux and the reactivity of the system.The future perspectives of the current work deal with real-time multiphysics models and an optimal a posteriori sampling of the parametrized manifold.

Introduzione: 11:00 - 11:45
Prof.Enrico Marco Ricotti, Full Professor, Department of Energy, CeSNEF- Nuclear Engineering Division Politecnico di Milano

Speaker: 11:45 - 13:00
Alberto Sartori, Phd Student, Department of Energy, CeSNEF- Nuclear Engineering Division Politecnico di Milano

referente: Davide Baroli (Phd student, MOX)

31 Maggio, 2013 14:30

Seminari PhD di Equazioni Differenziali

The Cahn-Hilliard equation

MAURIZIO GRASSELLI, Dipartimento di Matematica-Politecnico di Milano

Aula Consiglio VII piano

abstract

abstract

The Cahn-Hilliard (CH) equation describes the phase separation taking
place in a binary alloy subject to a rapid cooling process. More
precisely, it governs the evolution of the (relative) concentration
difference between the two components of the material. This equation
was proposed by J.W. Cahn and J.E. Hilliard in the late Fifties. Since
then it has been analyzed by many authors. Also, it has been recently
used to model other phenomena arising, for instance, in modeling tumor
growth, image segmentation and population dynamics. However, the
original CH equation has a phenomenological nature and lacks of a
rigorous justification. At the beginning of the Nineties, G. Giacomin
and J. L. Lebowitz proved that the hydrodynamic limit of a phase
segregation (separation) process is a nonlocal variant of the CH
equation. More precisely, the so-called chemical potential depends on
the concentration through a nonlocal spatial operator characterized by
a suitable interaction kernel. Thus the physically well-justified CH
equation is actually an integro-differential equation, while the
original CH equation can be viewed as its local approximation. After
an overview on the CH equation, I intend to give a (hopefully) not too
technical presentation of some recent mathematical results on the
nonlocal case.

29 Maggio, 2013 12:15

Seminari di Cultura Matematica

La fisica delle particelle tra la frontiera della scoperta e il mondo delle applicazioni

Marco Paganoni, Dip. Fisica, Universita' di Milano-Bicocca e INFN

Aula B.2.1 (edificio 14 - Nave ) via Bonardi 9, Milano.

The Cahn-Hilliard (CH) equation describes the phase separation taking
place in a binary alloy subject to a rapid cooling process. More
precisely, it governs the evolution of the (relative) concentration
difference between the two components of the material. This equation
was proposed by J.W. Cahn and J.E. Hilliard in the late Fifties. Since
then it has been analyzed by many authors. Also, it has been recently
used to model other phenomena arising, for instance, in modeling tumor
growth, image segmentation and population dynamics. However, the
original CH equation has a phenomenological nature and lacks of a
rigorous justification. At the beginning of the Nineties, G. Giacomin
and J. L. Lebowitz proved that the hydrodynamic limit of a phase
segregation (separation) process is a nonlocal variant of the CH
equation. More precisely, the so-called chemical potential depends on
the concentration through a nonlocal spatial operator characterized by
a suitable interaction kernel. Thus the physically well-justified CH
equation is actually an integro-differential equation, while the
original CH equation can be viewed as its local approximation. After
an overview on the CH equation, I intend to give a (hopefully) not too
technical presentation of some recent mathematical results on the
nonlocal case.

28 Maggio, 2013 14:00 oclock

Seminari di Cultura Matematica

Traffic produced Turbulence and Particulate mixing in Urban areas.

Abramo Agosti, Dipartimento di Matematica, Politecnico di Milano

Aula Seminari VI PIANO Dipartimento di Matematica, Politecnico di Milano

abstract

abstract

In this talk I will illustrate the main results from my Phd thesis study about the estimation of the effects of deposition and resuspension
phenomena on the airborne PM10 concentration levels in Urban areas.
I will show how analytical solutions of algebraic Turbulence models have been used to describe the wind recirculation inside a urban canyon and the vehicle wakes interaction. Results from numerical simulations

of the air flow generated by single vehicles with different geometries and

velocities and the derived profile laws for deposition and resuspension

factors will be reported. Finally, pollutant dispersion results, together

with estimations of PM10 concentration levels after the implementaion

of different reduction scenarios, will be shown.

28 Maggio, 2013 16:00 oclock

Seminari di Cultura Matematica

Architetture di software scientifico e il movimento del software libero.

Mark Galassi, Los Alamos National Laboratory (USA)

Aula Seminari VI PIANO Dipartimento di Matematica, Politecnico di Milano

abstract

abstract

Propongo il punto di vista che le architetture software, che siano grandi e complesse o spicciole ( quickies , come dicono gli Americani)
devono essere basate su un certo modello di riproducibilita e verificabilita .

L argomento sviluppo di software include molti aspetti di un progetto: il version control , le infrastrutture di programmazione, il controllo
dell integrita di dati e di pipeline , e anche le parti sociologiche del progetto: il modo in cui i collaboratori communicano e progettano.

Offriro esempi di progetti (tratti dalla mia cariera di astrofisico e hacker) che hanno avuto successo e di grandi disastri, e suggeriro che
il classico modello di sviluppo nel mondo del software libero e ideale per lo sviluppo di software scientifico a tutti i livelli.

27 Maggio, 2013 16:30

Lezioni Leonardesche

THE PROBLEM OF DYNAMICS IN QUANTUM THEORY

JÜRG FRÖHLICH, ETH Zürich

Università di Milano, Dipartimento di Matematica, Via Saldini

Propongo il punto di vista che le architetture software, che siano grandi e complesse o spicciole ( quickies , come dicono gli Americani)
devono essere basate su un certo modello di riproducibilita e verificabilita .

L argomento sviluppo di software include molti aspetti di un progetto: il version control , le infrastrutture di programmazione, il controllo
dell integrita di dati e di pipeline , e anche le parti sociologiche del progetto: il modo in cui i collaboratori communicano e progettano.

Offriro esempi di progetti (tratti dalla mia cariera di astrofisico e hacker) che hanno avuto successo e di grandi disastri, e suggeriro che
il classico modello di sviluppo nel mondo del software libero e ideale per lo sviluppo di software scientifico a tutti i livelli.

27 Maggio, 2013 11:00 oclock

Lezioni Leonardesche

Energetic BEM-FEM coupling for wave propagation in unbounded domains

Alessandra Aimi, Dipartimento Matematica e Informatica, Università di Parma

Aula Seminari VI PIANO Dipartimento di Matematica, Politecnico di Milano

abstract

abstract

Starting from a recently developed energetic space-time weak formulation of boundary integral equations (BIEs) related to wave propagation problems defined on single and multi domains, a coupling algorithm is presented, which allows a flexible use of finite and boundary element methods as local discretization techniques, in order to efficiently treat unbounded media. The coupling is based on a weak reformulation in the energetic framework of partial differential equations associated to BIEs. Some details on quadrature schemes developed for the numerical evaluation of matrix elements in the linear system of the final time-marching procedure will be introduced and emphasis will be given to the stability analysis of the proposed energetic approach. Several numerical results on wave propagation model problems will be presented and discussed.

22 Maggio, 2013 12:15

Seminari di Cultura Matematica

Dalla terra di carta alla terra digitale

Maria Brovelli, Dipartimento di Ingegneria Civile e Ambientale, Politecnico di Milano

Aula B.2.1 (edificio 14 - Nave ) via Bonardi 9, Milano.

Starting from a recently developed energetic space-time weak formulation of boundary integral equations (BIEs) related to wave propagation problems defined on single and multi domains, a coupling algorithm is presented, which allows a flexible use of finite and boundary element methods as local discretization techniques, in order to efficiently treat unbounded media. The coupling is based on a weak reformulation in the energetic framework of partial differential equations associated to BIEs. Some details on quadrature schemes developed for the numerical evaluation of matrix elements in the linear system of the final time-marching procedure will be introduced and emphasis will be given to the stability analysis of the proposed energetic approach. Several numerical results on wave propagation model problems will be presented and discussed.

21 Maggio, 2013 17:00 oclock

Seminario Matematico e Fisico di Milano

CURVES AND CYCLES ON K3 SURFACES

DANIEL HUYBRECHTS, Bonn University

Università Statale di Milano, Dipartimento di Matematica - Sala di Rappresentanza

abstract

abstract

In this talk I will discuss the contribution of points and curves on a K3 surface to the Chow ring. The Chow ring of a K3 surface remains mysterious and reflects the interplay between
the arithmetic and geometry of the surface.
Classical results as well as open conjectures will be explained.