Institute of Applied Mathematics (IAM) is an interdisciplinary centre fostering various researches and teaching activities in mathematical sciences. In order to coordinate mathematics-based research as well as to undertake collaborative research with industry, IAM has established Colloquia (General Seminars), since its foundation in 2002, almost every Tuesdays in the afternoon. A colloquium at the institute usually lasts about 45 minutes.

The Colloquium provides an opportunity to build and strengthen relations between researches, practitioners, regulators from various fields and members, especially the students, of IAM. Here, at IAM with four specialised departments (Actuarial Sciences, Cryptography, Financial Mathematics, Scientific Computing) we are expecting valuable contribution and exchange of ideas from different scholars, lecturers and specialists.

General audience of the Colloquia at IAM consists of both graduate and undergraduate students, scholars and academics from various research fields, including the departments at IAM. As the audience is not homogeneous, invited speakers are advised to consider the following general principles of a colloquium talk at IAM:

  • Colloquium talks are given to general audience; however, such a colloquium talk at IAM might sometimes resemble a research seminar (only when it is necessary).
  • A (colloquium) talk is not a paper, it needs a special preparation (pre-prep and pre-planning) in order to involve and attract as many attendees as possible to the subject. This is crucial if the audience is not homogeneous (with backgrounds from different research areas).
  • Mathematics is an expressive and precise language we communicate; however, reading mathematics (on board or on slides) distracts and disengage the audience from the speaker! Similarly, long tables, long algorithms, crowded charts or diagrams might be difficult to read and comprehend by the audience. So, special care is needed when necessary.
  • Facilities might improve the style of the talk. At IAM, besides the (white) board and transparencies, a projector connected to a computer is available for the electronic versions of the presentations.

Schedule


Affiliation: University of Ulm, Institute of Insurance Science, Germany

Speaker:   Prof. Dr. An Chen

Invited by: A. Sevtap Kestel

Place: Online

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 31.05.2022 - 15.30 

Abstract: The paper studies a non-concave optimization problem arising from a managerial board maximizing the expected utility of the surplus of a financial company under four prevalent risk-based regulatory constraints (Expected Shortfall, Expected Discounted Shortfall, Value-at-Risk, and Average Value-at-Risk). We obtain analytical solutions to all four problems in the form of optimal terminal wealth. Curiously, the four various risk constraints all lead to the same optimal solutions, which differs from the conclusion in traditional concave utility maximization problems under risk constraints. Compared with the benchmark (unconstrained) non-concave utility maximization problem, all the four risk constraints effectively and equivalently reduce the set of zero terminal wealth, but do not fully eliminate this set, demonstrating the success and failure of the respective financial regulations. (Joint work with Mitja Stadje, Fangyuan Zhang)


Affiliation: University of Waterloo, dept. of Statistics, Canada

Speaker:   Prof. Dr. Adam Kolkiewicz

Invited by: A. Sevtap Kestel

Place: Online

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 24.05.2022 - 15.30 

Abstract: It is well known that in a complete financial market, contingent claims can be hedged perfectly without any risk by using a continuously rebalanced hedging portfolio. The number of shares of the underlying risky asset in this portfolio, often referred to as delta or as a hedge ratio, can be obtained through the martingale representation theorem. Such hedging strategies work reasonably well also in practice, where trades occur in discrete times, if the rebalancing periods are not too long.  In this talk we will use the Black–Scholes framework to demonstrate that discrete-time hedging of path-dependent options based on the standard delta is significantly less efficient than some of the optimal hedging strategies, regardless of the length of the hedging period.  Using an Asian option as an example, we will provide an explanation of this phenomenon and will propose a correction of the standard delta that leads to an asymptotically efficient method. Time permitting, we will also discuss optimal in some sense static hedging methods for path-dependent options.


Affiliation: Mathematical Institute, University of Oxford, UK

Speaker:   Prof. Dr. Endre Süli

Invited by: Önder Türk

Place: Online

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 17.05.2022 - 15.30 

Abstract: The talk is concerned with the convergence analysis of finite element methods for the approximate solution of a system of nonlinear elliptic
partial differential equations that arise in models of chemically reacting viscous incompressible fluids. The shear-stress appearing in the model involves a power-law type nonlinearity, where, instead of being a fixed constant, the power law-exponent is a function of a spatially varying nonnegative concentration function, which, in turn, solves a nonlinear convection-diffusion equation. In order to prove the convergence of the sequence of finite element approximations to a solution of this coupled system of nonlinear PDEs, a uniform H\"{o}lder norm bound needs to be derived for the sequence of finite element approximations to the concentration in a setting, where the diffusion coefficient in the convection-diffusion equation satisfied by the concentration is merely an L^\infty function. This necessitates the development of a finite element counterpart of the De Giorgi--Nash--Moser theory. Motivated by an early paper by Aguilera and Caffarelli (1986) in the simpler setting of Laplace's equation, we derive such uniform H\"older norm bounds on the sequence of continuous piecewise linear finite element approximations to the concentration. We then use this to deduce the convergence of the sequence of finite element approximations to a solution of the coupled system of nonlinear PDEs under consideration. 

The talk is based on joint work with Seungchan Ko and Petra Pustejovska, and recent results obtained in collaboration with Lars Diening and Toni Scharle.


Affiliation: Risk consultant, Germany

Speaker:   Dr. Martin Rainer

Invited by: A. Sevtap Kestel

Place: Online

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 19.04.2022 - 15.30 (Istanbul time)

Abstract: The relative pricing method is reviewed under stochastic aspects. Traditional applications are e.g. forward rate simulations and FX quanto
adjustments. After looking at some problems of the conventional numeraire, the concept of relative pricing w.r.t. economically key assets will be
explained. Considerable advantages of this method over conventional pricing show up in contexts for increasing ecological sustainability e.g.
by carbon pricing, or for economic stabilisation of critical resource prices such as agricultural commodities or energy. (Joint work with Dr. S. Aydın based on recent paper https://www.tandfonline.com/doi/full/10.1080/20430795.2020.1769983.)


Affiliation: Sabancı University, Computer Science and Engineering, Turkey

Speaker:   Assoc. Prof. Dr. Kamer Kaya

Invited by: Oğuz Yayla

Place: Online

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 12.04.2022 - 15.30 

Abstract: The permanent is an important characteristic of a matrix and it has been used in many applications, e.g., order statistics and quantum
computing. Unfortunately, it is a hard to compute and hard to approximate immanant. For dense/full matrices, the fastest exact algorithm,
Ryser, has O(n x 2^(n-1)) complexity. In this seminar, we will talk about permanents for (mainly sparse) matrices, their relation with some
graph-theoretic problems, and how to compute/approximate them in parallel by using manycore CPUs and multicore GPUs.


Affiliation: Gebze Technical University, Institute of Information Technologies, Turkey

Speaker:   Assist. Prof. Dr. Zafeirakis Zafeirakopoulos

Invited by: Oğuz Yayla

Place: Online

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 05.04.2022 - 15.30 

Abstract: Polyhedral Omega is an algorithm for solving linear Diophantine systems (LDS), i.e., for computing a multivariate rational function representation of the set of all non-negative integer solutions to a system of linear equations and inequalities. Polyhedral Omega combines methods from partition analysis with methods from polyhedral geometry. In particular, we combine MacMahon’s iterative approach based on the Omega operator and explicit formulas for its evaluation with geometric tools such as Brion decomposition and Barvinok’s short rational function representations. This synthesis of ideas makes Polyhedral Omega by far the simplest algorithm for solving linear Diophantine systems available to date.After solving the feasibility problem of Integer Linear Programming (ILP), we will see how to use Polyhedral Omega for optimization.


Affiliation: University of Liverpool-IFAM, UK

Speaker:  Prof. Dr. Corina Constantinescu

Invited by: 

Place: https://zoom.us/j/92462211844?pwd=dUhuUU5wc0FLMDgxbUV5ZW9IMktGUT09

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 15.03.2022 - 15.30 

Abstract:Inspired by the double-debt problem in Japan where the mortgagorhas to pay the remaining loan even if their house was destroyed by a
catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward process. We propose an insurance add-on to
the loan repayments and analyse the asymptotic behavior of the distribution of the first hitting time, which represents the probability of full repayment. We show that the finite-time probability of full loan repayment converges exponentially fast to the infinite-time one. In a few concrete scenarios, we calculate the exact form of the infinite-time probability and the corresponding premiums. This is joint work with J. Akahori, Y. Imamura and H. Pham. 


Affiliation: Nanyang Technological University

Speaker: Dr. Buket Özkaya

Invited by:  Ferruh Özbudak

Place: https://zoom.us/j/92462211844?pwd=dUhuUU5wc0FLMDgxbUV5ZW9IMktGUT09

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 28.12.2021 - 15.30

Abstract: Spectral bounds on the minimum distance of quasi-twisted codes over finite fields are proposed, based on eigenvalues of polynomial
matrices and the corresponding eigenspaces. They generalize the Semenov-Trifonov and Zeh-Ling bounds in a way similar to how the Roos and
shift bounds extend the BCH and HT bounds for cyclic codes. The eigencodes of a quasi-twisted code in the spectral theory and the outer codes in its
concatenated structure are related. A comparison based on this relation verifies that the Jensen bound always outperforms the spectral bound under
special conditions, which yields a similar relation between the Lally and the spectral bounds. The performances of the Lally, Jensen and spectral
bounds are presented in comparison with each other. 


Affiliation: National Research Council, Canada

Speaker: Dr. Koray Karabina

Invited by:  Murat Cenk

Place: https://zoom.us/j/92462211844?pwd=dUhuUU5wc0FLMDgxbUV5ZW9IMktGUT09

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 21.12.2021 - 15.30

Abstract: Password-based and single-factor authentication mechanisms have shown to be ineffective due to several convenience and security related challenges (e.g. generating and recalling strong passwords). Multi-factor authentication services try to remedy this situation by upgrading the static nature of passwords through the use of fresh and high-entropy tokens. Another limitation of authentication services is that they are designed to authenticate users only at the beginning of their session. Therefore, attackers who bypass the one-time initial authentication can have long-term unauthorized control of that session. Biometrics based continuous authentication protocols promise efficient, convenient, and secure alternatives to traditional authentication services. However, we face a number of challenges at different levels: how to design cryptographic primitives for biometrics?, how to design and implement continuous authentication protocols?, and how to justify the security of the system in the end? In this talk, I will discuss some of these
challenges and present our recent protocol PACA: A Privacy aware continuous authentication protocol. 


Affiliation: Affiliation: University of Vienna, Department of Finance

Speaker: Prof. Dr. Thomas Gehrig

Invited by:  Prof. Dr. Sevtap Kestel

Place: https://zoom.us/j/92462211844?pwd=dUhuUU5wc0FLMDgxbUV5ZW9IMktGUT09

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 14.12.2021 - 15.30

Abstract: This study analyses the role of intermediaries in providing immediacy in fast markets. Fast markets are modelled as contests with the possibility of multiple winners where the probability of casting the best quote depends on prior technology investments. Depending on the market design, equilibrium pricing by intermediaries involves a trade-off, between monopolistic price distortion and excess volatility. Since equilibrium at the pricing stage generates an externality, investments into faster trading technologies are necessarily asymmetric in equilibrium, akin to markets with vertical product differentiation. Further, equilibrium is not necessarily effcient, since it is possible that a high-cost intermediary ends up investing excessively and thus trades more frequently than low-cost rivals. 


Affiliation: Statistics and Actuarial-Financial Mathematics University of the Aegean, Greece

Speaker: Prof. Dr. Alex Karagrigoriou

Invited by: Azize Hayfavi

Place: https://zoom.us/j/92462211844?pwd=dUhuUU5wc0FLMDgxbUV5ZW9IMktGUT09

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 30.11.2021 - 15.30

Abstract: This work is filling up the gap in the literature regarding the verification of the log-concavity property which is a widely studied topic due to the fact that it provides desirable estimating properties. At the same time, it is vital in reliability, engineering and stochastic modeling for distinguishing between an exponential, a light-tailed and a heavy tailed distribution. In this work we propose an exponentiality test of fit to be used for distinguishing between exponential and log-convex or long-concave distributions. The proposed test statistic is based on the conspiracy and catastrophe principles and establishes a characterization for the exponential distribution. The details of the formulation of the test are provided, an extended simulated study which shows the performance of the proposed test statistic is given, and some concluding remarks are stated. Keywords: Exponentiality test, characterization, log-concavity, log-convexity, goodness of fit test, catastrophe principle, conspiracy principle. 


Speaker: Prof.Dr. Eli Ben-Sasson

Invited by:  Assist.Prof.Dr. Oğuz Yayla

Place: https://zoom.us/j/92462211844?pwd=dUhuUU5wc0FLMDgxbUV5ZW9IMktGUT09

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 16.11.2021 - 15.30

Abstract: Blockchains remove the need for trusted mediators (like banks), replacing them with trust based on Inclusive Accountability, which means that anyone with a laptop is invited to hold the blockchain accountable by inspecting all that transpires on it. However, If all may inspect the full blockchain,
then privacy erodes. And if you insist on allowing anyone with a laptop to inspect all transactions, then the blockchains throughput must be capped. Is this inevitable? Can we have blockchains with massively greater scale and full financial privacy without resorting to trusting mediators?  Cryptographic proofs, invented in the 1980's allow us to have our privacy+scalability cake and eat it too. ZK-STARKs are a culmination of three decades of academic research into cryptographic proofs, are best in class when it comes to scale and security, and are leading the pack in blockchain scalability. This talk will discuss the theory-to-product route taken by StarkWare, a company founded to implement ZK-STARK technology on blockchains, which is soon (this month) launching a layer-2 for Ethereum called StarkNet that makes cryptographic proofs accessible to all decentralized app developers.


Affiliation: Hong Kong University of Science and Technology

Speaker: Dr. Halis Sak, 

Invited by: Prof. Dr. Devin A. Sezer

Place: https://zoom.us/j/92462211844?pwd=dUhuUU5wc0FLMDgxbUV5ZW9IMktGUT09

Zoom: IAM COLLOQUIUM

Zoom Meeting ID: 924 6221 1844

Passcode: 854034

Date/Time: 09.11.2021 - 15.30

Abstract: Over the years, top journals have published hundreds of characteristics to explain stock return, but many have lost significance. What fundamentally affects the time-varying significance of characteristics? We combine machine-learning (ML) and portfolio analysis to uncover patterns in significant haracteristics. We train ML models on 106 characteristics to predict stock returns. From out-of-sample ML portfolio analysis, we reverse-engineer important characteristics that ML models uncover, which are unobservable. The ML portfolio's dominant characteristics rotate between proxies for investor arbitrage constraint and firm financial constraint. We show that the credit cycle could fundamentally explain cross-sectional stock return over time.


Speaker: Dr. Çağdaş Çalık, 

Invited by:  Sevtap Kestel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 22.06.2021 - 18.00

Abstract: Algorithms are expressed as circuits consisting of logic gates (including other components) when they are implemented in hardware. Various characteristics of circuits can be used as metrics for optimization, which are defined by the requirements of specific applications; such as minimizing the total number of gates for low chip area, or minimizing the depth of the circuit for low latency. One particular metric of interest for cryptographic applications is the multiplicative complexity of functions, which is defined as the minimum number of 2-input AND gates that is necessary and sufficient to implement it over the basis of XOR, AND, and NOT gates. Multiplicative complexity is not only an indicator of the complexity of a function but it is also related to the cost of protecting an implementation against side-channel attacks as nonlinear gates are more expensive to protect than linear gates. This talk will highlight circuit complexity results from the literature within the context of cryptographic algorithms and protocols, and demonstrate the implications of constructing better circuits for real world applications.


Speaker: Prof. Dr. Erhan Bayraktar, Department of Mathematics, University of Michigan, USA

Invited by:  Sevtap Kestel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 08.06.2021 - 15.30

Abstract: We consider heterogeneously interacting diffusive particle systems and their large population limit. The interaction is of mean field type with random weights characterized by an underlying graphon. The limit is given by a graphon particle system consisting of independent but heterogeneous nonlinear diffusions whose probability distributions are fully coupled. A law of large numbers result is established as the system size increases and the underlying graphons converge. Under suitable additional assumptions, we show the exponential ergodicity for the system, establish the uniform in time law of large numbers, and introduce the uniform in time Euler approximation. The precise rate of convergence of the Euler approximation is provided. Based on joint works with Suman Chakraborty and Ruoyu Wu. 


Speaker:  Prof. Dr. Timothy O'Brien, Department of Mathematics and Statistics, Loyola University Chicago, USA

Invited by:  Sevtap Kestel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 01.06.2021, 16:30-17:30 ( 1 hour ahead of normal time )

Abstract: Longitudinal data are ubiquitous in biomedical research, economics, environmental research, psychometrics as well as many other domains, and analysis of these data present unique and far-reaching challenges in applied statistical research.  These data often also contain latent (hidden) cohorts/groups, which - with the aid of the EM algorithm and associated methods - can be discerned in order to help researchers in better understanding their data and underlying phenomena.  Although the fields of Finite Mixture Models and Trajectory Analysis in the context of longitudinal data analysis is relatively new, controversy exists as to how best to discern these patterns and data. This talk focuses on the larger field of estimation and design of longitudinal data, with an eye to trajectory analysis and finite mixture models in modelling nonlinear phenomena.  We make connections to the linear and generalized linear cases - as well as highlighting important differences and relevant software packages.  We also weave in caveats related to over-fitting one's data.

 


Speaker:  Prof. Dr. Hansjoerg Albrecher, Department of Actuarial Science, University of Lausanne, Switzerland

Invited by:  Sevtap Kestel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 25.05.2021 - 15.30

Abstract: Mining blocks on a blockchain equipped with a proof of work consensus protocol is known to be resource-consuming. A miner bears the operational cost, mainly electricity consumption and IT gear, of mining, and is compensated by a capital gain when a block is discovered. In this talk we quantify the profitability of mining when the possible event of ruin is also taken into consideration. This is done by formulating a tractable stochastic model and using tools from actuarial ruin theory and analysis, including the explicit solution of a certain type of advanced functional differential equation. The expected profit at a future time point is determined for the situation when the miner follows the protocol as well as when he/she withholds blocks. The obtained explicit expressions allow to analyze the sensitivity with respect to the different model ingredients and to identify conditions under which selfish mining is a strategic advantage. The talk is based on joint work with P.O. Goffard.


Speaker:  Assoc. Prof. Dr. Özlem Çavuş, Department of Industrial Engineering, Bilkent University, Turkey

Invited by:  Sevtap Kestel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 04.05.2021 - 15.30

Abstract: In classical multi-armed bandit problem, the aim is to find a policy maximizing the expected total reward, implicitly assuming that the decision maker is risk-neutral. On the other hand, the decision makers are risk-averse in some real life applications. In this study, we design a new setting based on the concept of dynamic risk measures where the aim is to find a policy with the best risk-adjusted total discounted outcome. We provide a theoretical analysis of multi-armed bandit problem with respect to this novel setting, and propose a priority-index heuristic which gives risk-averse allocation indices having a structure similar to Gittins index. Although an optimal policy is shown not always to have index-based form, empirical results express the excellence of this heuristic and show that with risk-averse allocation indices we can achieve optimal or near-optimal interpretable policies. 


Speaker:  Prof. Dr. Martin Redmann, Department of Mathematics, Martin Luther University of Halle Wittenberg, Germany

Invited by:  Hamdullah Yücel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 27.04.2021 - 15.30

Abstract: In this talk, we give a brief introduction to stochastic differential  equations (SDEs) with links to important applications. Subsequently, we discuss scenarios in which large scale SDEs appear. Solving these equations is connected to a high computational effort which, e.g., makes Monte  Carlo methods expensive. Model order reduction (MOR) can be used to reduce the dimension of large-scale SDEs leading to a lower computational complexity. We sketch the idea of MOR for stochastic systems and present some recent theoretical and numerical results.


Speaker:  Daniele Boffi, Applied Mathematics and Computational Science, KAUST

Invited by:  Önder Türk

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 20.04.2021 - 15.30

Abstract: We discuss the finite element approximation of eigenvalue problems arising from elliptic partial differential equations. We present various examples of non-standard schemes, including mixed finite elements, approximation of operators related to the least-squares finite element method, parameter dependent formulations such as those produced by the virtual element method. Each example is studied theoretically; advantages and disadvantages of each approach are pointed out.


Speaker:  Ralf Korn, Technical University Kaiserslautern, Germany

Invited by:  A. Sevtap Kestel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 26.01.2021 - 15.30

Abstract: We consider an investment and consumption problem in the face of a once-in-a-life-time event that causes the stock market to crash. However, there is no probabilistic information on the occurrence and the height of the crash. We are faced with what is called Knightean uncertainty. Thus, traditional portfolio optimization approaches are not applicable.  The talk contains an introduction into standard portfolio optimization methods and into the worst-case  pproach. A so-called life time consumption problem will be solved and leads to an explicit solution that depends on the character of the investor and that allows for economic interpretations. 


Speaker: Doğan Tırtıroğlu, Department of Real Estate Management, Ryerson University

Invited by:  A. Sevtap Kestel

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode:  724032

Date/Time: 18.01.2021 - 16.30

Abstract: Joint work with Belma OZTURKKAL and Basak TANYERI We posit a new hypothesis on the pricing of IPOs and provide evidence on it from IPOs issued in Turkey between 1989 and September 2020. The hypothesis focuses on how a sudden and unexpected regime switch in macroeconomic conditions, from decades-long high uncertainty to relative stability, affects the pricing of IPOs. We expect that macroeconomic stability should nurture (i) more IPOs, (ii) a shorter time length between two IPOs, and (iii) stylized findings, established internationally in the literature, to be more dominant. We take our empirical measure of macroeconomic fluctuations from the foreign exchange market. The February 2001 financial meltdown in Turkey is the switch event. The return generating process carries strongly the imprints of this meltdown, but not the other meltdowns witnessed during the sample period. Results from the *stability* ( *uncertainty*) regime are consistent with (differ starkly from) those reported for the developed economies, respectively. Remarkably and unexpectedly, high uncertainty "bleaches" even the well-established hot market effects on IPO initial-day returns. These are brand-new results in the literature and push macroeconomic uncertainty as a risk factor for IPOs to the forefront. Structural reforms to fend off the economic decay from the 2001 financial meltdown, including instituting a corporate debt market, have led to macroeconomic stability in Turkey. With that, the pricing of IPOs has become remarkably consistent with the well-established and stylized evidence from the developed economies. This paper also offers some preliminary work on a recent legal change with the aim to curb moral hazard in the IPO market in Turkey. Overall, Turkish issuers have left much less money on the table than others in the USA and elsewhere. This is another remarkable piece of finding and an addition to the rich list of puzzles of the IPO literature.


Speaker: Ramon Codina, Department of Civil and Environmental Engineering, Universitat Politècnica de Catalunya (UPC)

Invited by:  Önder Türk

Place: https://zoom.us/j/98408006920?pwd=eHQ2YzNMakxFamhDL1k1eDRTTURIQT09

Zoom Meeting ID: 984 0800 6920

Passcode: 724032

Date/Time: 12.01.2021 - 15.30

Abstract: When approximating numerically a mathematical model one often faces the need for many solves. This happens for example in optimisation, or when solutions need to be given depending on a parameter. In these situations, fine approximations are not affordable for all cases, but perhaps just a few, and coarse approximations need to be employed in most simulations. The idea of the methodology to be presented is to improve coarse solutions from the knowledge of fine solutions. This is in general convenient, and in some cases even necessary. Examples of the latter are those in which the coarse solution is unstable, or fails to satisfy basic physical principles (for example, equilibrium). What we propose in this talk is to introduce a correction of the coarse model, depending on the coarse solution, designed to obtain a coarse solution as close as possible to the (projection of the) fine solution for the situations (that we call configurations) in which the fine solution is known. This corrective term is designed using an Artificial Neural Network, having as training set the collection of fine solutions for the configurations in which these are available. We have applied this concept to different problems: a) In Reduced Order Modelling (ROM), where the coarse model is built from a reduced basis and the training set are the collection of snapshots of departure, b) In the coarsening of finite element meshes in space, in which a fine solution is known in a fine mesh but then this mesh is coarsened to continue the simulation, c) In increasing the time step size in transient problem, in particular in wave propagation. Nevertheless, many other applications can be devised for the general concept proposed.