Events and Presentations 2019
Coorganizing the V Workshop on Dynamical Systems and Brain-inspired Information Processing. Universität Konstanz, July 29-31, 2019.
Forecasting realized variances with reservoir computing. DAGStat Conference 2019, Münich, March 21, 2019.
Reservoir computing: Applicability of RC systems with unbounded inputs and their empirical performance. Seminar in Theory and Algorithms in Data Science, the Alan Turing Institute. London, February 14.
Events and Presentations 2017-2018
Organizing special session on “Machine learning techniques for time series forecasting”. The 11th International Conference on Computational and Financial Econometrics (CFE 2017). London, UK, December 16-18, 2018.
Coorganizing the IV Workshop on Dynamical Systems and Brain-inspired Information Processing. Universität Konstanz, October 5-6, 2017. Coorganized with Herbert Jaeger (Jacobs University Bremen), Laurent Larger (FEMTO-ST, Université Bourgogne Franche-Comté), and Juan-Pablo Ortega (Universität St. Gallen, CNRS).
Visiting Professor, Program “Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences”, École Polytechnique Fédérale de Lausanne (EPFL), Lausanne, Switzerland, April-June 2017.
Pricing and hedging of non-affine ARSV options using latent factor dependent kernels. Spring School and Workshop on Volatility Dynamics and Option Prices and Econometrics of Intraday Data, École Polytechnique Fédérale de Lausanne (EPFL), Lausanne, Switzerland, April 10–13.
Presentations 2016
Reservoir computing: Forecasting and filtering of financial time series. Joint Universität Konstanz & Universität Sankt Gallen Workshop on Computational Social Science. St. Gallen, Switzerland, December 20.
Pricing and hedging of non-affine ARSV options using the latent factor dependent kernels. The 10th International Conference on Computational and Financial Econometrics (CFE 2016). Seville, Spain, December 9-11.
Singular ridge regression with homoscedastic residuals: generalization error with estimated parameters. Statistische Woche. Augsburg, September 15.
Reservoir computing: information processing of stationary signals. The 19th IEEE International Conference on Computational Science and Engineering (CSE 2016). Ecole de Mines. Paris, August 25. Best Paper Award.
Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. Research Seminar, Chair of Statistics, Augsburg, Germany, June 9.
Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. The 10th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, France, January 22.
Presentations 2015
Volatility forecasting using global stochastic financial trends extracted from asynchronous market quotes. The 9th International Conference on Computational and Financial Econometrics (CFE 2015), London, December 14.
Capacity of time-delay reservoir computers in the forecasting, filtering, reconstruction, and parallel processing of stochastic stationary and multidimensional signals. Workshop “Dynamical systems and brain-inspired information processing”. Besançon, France, November 3.
Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. Konstanz-Strasbourg Workshop “Applied Econometrics”, Moos, Germany, October 9.
Estimation and empirical performance of non-scalar dynamic conditional correlation models. Mathematical and Computational Finance Laboratory (MCFL) at the Department of Mathematics and Statistics, University of Calgary, Canada, July 8.
Estimation, reduction, and empirical performance of non-scalar dynamic conditional correlation (DCC) and multivariate volatility (DVEC) models. Workshop “Nouveaux développements dans la modélisation et la prévision des risques extrêmes en finance”, Aix-Marseille School of Economics, May 18-19.
Volatility and time series forecasting with non-scalar parametric models and machine-learning based techniques. University of Konstanz, Konstanz, Germany, May 5.
Reservoir computing: optimal nonlinear information processing capacity, performance, and universality. Applications to stochastic nonlinear time series forecasting. Journée du Laboratoire de Mathématiques, Besançon, France, January 8.
Presentations 2014
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2014. Reduction and composite likelihood estimation of non-scalar multivariate volatility models. The 8th International conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy, December, 6-8.
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2014. Reduction and composite likelihood estimation of non-scalar multivariate volatility models. The International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow, Russia, November, 21.
Grigoryeva, L., Ortega, J.-P., Zub S. 2014. Stability of Hamiltonian relative equilibria in symmetric magnetically confined rigid bodies: orbitrons, levitrons, and generalizations. The 10th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Madrid, Spain, July, 7-11.
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2014. Estimation and empirical performance of non-scalar dynamic conditional correlation (DCC) models. The 1st Conference of the International Association for Applied Econometrics (IAAE 2014), Queen Mary University of London, London, UK, June, 26-28.
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2014. Non-scalar dynamic conditional correlation models. Estimation and empirical performance. Conférence “Séries Temporelles, Économétrie et Finance”, Besançon, France, May, 5-6.
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2014. Estimation and empirical performance of multivariate non-scalar dynamic conditional covariance and correlation models. The Weekly Workshop of International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow, Russia, March, 24.
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2014. Estimation and empirical performance of non-scalar dynamic conditional correlation (DCC) models. The Eighth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, January, 12-18.
Presentations 2011-2013
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2013. Estimation and empirical performance of non-scalar dynamic conditional correlation (DCC) models. The 7th International conference on Computational and Financial Econometrics (CFE 2013), London, Great Britain, December, 14-16.
Grigoryeva, L., Henriques, J., Larger, L., Ortega, J.-P. 2013. Stochastic nonlinear time series forecasting using time-delay reservoir computers: performance and universality. Workshop: Experimental Reservoir Computing, Besançon, France, October, 14-15.
Bauwens, L., Grigoryeva, L. , Ortega, J.-P. 2013. Estimation and empirical performance of non-scalar DCC models. CORE-ILSM Lecture Series, Louvain-la-Neuve, Belgium, September 30-October 2.
Grigoryeva, L. , Ortega, J.-P. 2013. Estimation of sizeable matrix based DCC models via Bregman divergences. CEQURA-2013, Munich, Germany, September, 23-24.
Grigoryeva, L. , Ortega, J.-P. 2013. Hybrid forecasting with estimated temporally aggregated linear processes. IwCEE: International workshop on Computational Economics and Econometrics, Rome, Italy, June, 12-13.
Grigoryeva, L. , Ortega, J.-P., Zub, S. 2013. Stability of Hamiltonian relative equilibria in symmetric magnetically confined rigid bodies. ICMAT (Instituto de Ciencias Matemáticas) School: The 7th International Summer School on Geometry, Mechanics, and Control, La Cristalera, Spain, July, 1-5.
Grigoryeva, L., Ortega, J.-P. 2013. Finite sample forecasting with estimated temporally aggregated linear processes. The Seventh Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, January, 13-20.
Grigoryeva, L., Ortega, J.-P. 2012. Forecasting with estimated multi-frequency temporally aggregated linear processes. The 6th International conference on Computational and Financial Econometrics (CFE 2012), Oviedo, Spain, December, 1-3.
Ortega, J.-P., Grigoryeva, L. 2012. Temporal aggregation, forecasting, and path continuation in estimated parametric stochastic models. Third Iberoamerican Meeting on Geometry, Mechanics and Control, Salamanca, Spain, September, 3-7.
Grigoryeva, L. 2012. Non-contact confinement of rigid bodies. Focus Program on Geometry, Mechanics and Dynamics, the Legacy of Jerry Marsden, Toronto, Canada, July.
Grigoryeva, L. , Ortega, J.-P. 2012. Finite sample forecasting with estimated temporally aggregated linear processes. ICMAT (Instituto de Ciencias Matemáticas) School: The 6th International Summer School on Geometry, Mechanics, and Control, La Cristalera, Spain, June, 22-26.
Grygor’yeva, L. 2011. Dynamics and stability of magnetic systems with superconducting elements. DSMSI 2011: Dynamical System Modeling and Stability Investigation Conference, Kiev, Ukraine, May, 25-27.
Invited Presentations (2008-2010)
Grygor’yeva, L. 2010. Mathematical modelling of static and dynamic configurations of magnetically interacting rigid bodies. Seminar On Differential Equations: Masaryk University (Faculty of Science, Department of Mathematics and Statistics), Brno, Czech Republic, November 15.
Grygor’yeva, L. 2010. Dynamics of a flywheel with superconductive bearing based on Magnetic Potential Well (MPW) phenomenon. ASC 2010: Applied Superconductivity Conference, Washington, USA, August 4.
Grygor’yeva, L., Kozorez, V., Fedorchuk, M. 2010. Modelling of the MPW under condition of superconductivity destruction. The 8th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Dresden University of Technology, Dresden, Germany, May, 25-28.
Grygor’yeva, L. 2010. Dynamics and stability of multibody magnetic systems in Magnetic Potential Well (MPW). The 8th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Dresden University of Technology, Dresden, Germany, May, 25-28.
Grygor’yeva, L. V., Kozoriz, V. V. 2008. Maple-exploring of a free flywheel suspended by super-conductive bearing. Maglev 2008: Proceedings of The 20th International Conference on Magnetically Levitated Systems and Linear Drives, San Diego, USA, December, 15-18.
Grygor’yeva, L. V., Kozoriz, V. V., Ljashko, O. 2008. Maple-exploring of a free flywheel suspended by superconductive bearing. SPEEDAM 2008: Proceedings of The 19th International Symposium on Power Electronics, Electrical Drives, Automation and Motion, Ischia, Italy, June, 11-13.
Grygor’yeva, L. V., Kozoriz, V. V. 2008. On one generalization in two-body problem for motion in central and non-central physical fields. Proceedings of The 9th Crimean International Mathematical School Lyapunov Functions Method and Applications, Alushta, Ukraine, September, 15-21. (in Russian)
Grygor’yeva, L. V., Kozoriz, V. V., Tyagulskyi, V. G. 2008. On stability of static and dynamic configurations with a free body in Magnetic Potential Well. Stab08: Proceedings of the 10th International E.S. Pyatnitskiy Symposium ”Stability and Vibrations of Nonlinear Control Systems”, Moscow, Russia, June, 3-6. (in Russian)
Grygor’yeva, L. V. 2008. Models of dynamic magnetically interacting free bodies and Maple-analysis. Proceedings of the XIIth International Scientific M. Kravchuk Conference, Kyiv, Ukraine, May, 15-17. (in Ukrainian)
Grygor’yeva, L. V. 2007. MAPLE-modeling of some dynamical problems of magnetically interacting bodies. DSMSI 2007: Thesis of Conference Reports of Dynamical System Modelling and Stability Investigation, Kyiv, Ukraine, May, 22-25.