The Italian Econometric Society (SIdE) in collaboration with the Venice centre in Economic and Risk Analytics for Public Policies (VERA) Ca’ Foscari University of Venice organizes the course for PhD students in:
THE COURSE IS DELIVERED IN ONLINE MODE.
If the conditions of the ongoing COVID 19 pandemic allow it, the course will be also delivered in presence. Partecipants may express thier preference upon acceptance
University Ca’ Foscari, Venice
28 June - 3 July 2021
Monica Billio, Ca' Foscari University of Venice
Roberto Casarin, Ca' Foscari University of Venice
Matteo Iacopini, Scuola Normale Superiore, Pisa
Sergio Petralia, Utrecht University and London School of Economics and Political Science
Luca Rossini, Queen Mary University of London
Intermediate knowledge of statistical inference and econometrics
The aim of the course is to provide the fundamentals of the econometrics network with particular reference to the Network mapping and visualisation, the Network Extraction Methods, Multi-layer Network Models and their applications to finance. The tutorials will develop applications to stocks, interest rates and commodities markets and to contagion analysis. Modelling of financial and commercial trade networks will be considered as well.
1. Graph Theoretic Foundation of Networks
1.2 Graph Connectivity
Tutorial 1: Data scraping, Interactive geo mapping with R
Tutorial 2: Network mapping and visualisation with R
Tutorial 3: Text mining and Networks with R
2. Network Extraction Methods
2.1 Graphical Models
2.3 Parametric sparse regression models
2.4 Nonparametric sparse regression models
Tutorial 4: Extraction of Financial Networks in Matlab
Tutorial 5: Network visualization with Gephi
3. Temporal Network Models
3.1 Tensor decomposition
3.1 Dynamic Tensor Models
3.2 Markov-switching Tensor Models
Tutorial 6: Appliction to COMTRADE and Financial Networks in Matlab
4. Multi-layer Network Models
4.1 Definition and analysis
Tutorial 7: Application to Oil Linkages Networks in Matlab
5. Stochastic-Block Models
5.1 Definition and inference
5.2 Application to Financial Networks
Theoretical lectures are associated with working sessions; during them you will receive the suggestions needed to use an econometric software and to run your own empirical analysis.
Data-sets and programming files to make applied econometrics will be provided during the lectures.
For the practical tutorials and applications participants will use the softwares R, Matlab and Gephi, which will have to be installed on their own laptops.
Reference textbooks and suggested readings:
Jackson, M.O. (2008) Social and Economic Networks, Priceton University Press.
Diebold, F. and Yilmaz, K. (2015), Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring, Oxford University Press.
Bollobas, B. (1998), Modern Graph Theory, Springer.
Jensen, F. (1996), An Introduction to Bayesian Networks, Springer-Verlag
Lauritzen, S. (1996). Graphical Models, Oxford University Press
Pearl, J. (1998). Probabilistic Reasoning in Intelligent Systems: Networks of Plausible Inference.
Whittaker, H. (1990). Graphical Models in Applied Multivariate Statistics, John Wiley.
Venue and timetables
The Course requires full-time attendance, and participation is not compatible with other jobs at the same time (e.g. preparation of other exams). Lectures and tutorials will be in English, with the following schedule (provisional):
- Monday to Friday: lectures: 9.00-13.00, 15.00-18.00.
- Saturday: lectures 9:00-13:00.
The course will be held in the Campus Economico San Giobbe at Università Ca’ Foscari, Venezia, Italy. Address: Dipartimento di Scienze Economiche - S. Giobbe, 873 - 30121 Venezia.
Participants will be hosted in the Ca' Foscari Residence in Santa Marta (as an exception, in case of reduced availability of rooms they will be accommodated in local hotels).
Fees and Enrollment
* Online Course
- Students, new graduated students, PhD students and temporary university staff: 340 euro
- University staff: 450 euro
- Others: 1500 euro
* Course in Venice
- Students, new graduated students, PhD students and temporary university staff: 690€
- University staff: 800€
- Others: 2300€
Fee includes: accommodation breakfast and lunch (starting from Sunday evening).
If participants do not need any accomodation during the course, please send an email to email@example.com to request a reduced fee and we will apply a cost reduction of 100€.
In case of enrollment in two or more courses, for a maximum of three, Student and Staff participants are entitled to a discount of 100 euros on each course. Other participants are entitled to a discount of 300 euros on each course.
* Fees for Master and PhD students from Ca' Foscari University of Venice: 30€
* Fee for students from Ca' Foscari University of Venice does not include accommodation.
Renounce and refund:
To submit a renounce request, please send an email to firstname.lastname@example.org.
You can give up immediately after the notification of acceptance or later.
After the payment, you can submit your renounce up to one week (7 days) from the beginning of the course (within the terms for refund) and ask for a refund with motivated reasons (health reasons to be documented, for study purposes or personal reasons). We will refund your fee with a deduction for administrative and organization costs:
150 Euro for the course in presence, 100 Euro for online course.
Over the terms for refund (less of 7 days from the beginning of the course) you need to motivate your request (as indicated above), which will be submitted to SIdE President.
Application Deadline: April 30th, 2021
Notification of acceptance will be posted by the 7th May, 2021
Deadline for Fee Payment is May 30th 2021
- For more information: Laura Urraci e-mail: email@example.com
- For administrative issues : Laura Urraci (firstname.lastname@example.org), Alessandra Picariello (email@example.com), phone:+39 0512092637;
- For travel and accommodation: Marianna Morelli phone +39 041 234 9254; e-mail: firstname.lastname@example.org.