Join us for an engaging and interactive session on the intricate world of financial markets and trading dynamics by our guest lecturer Mr. Vincent Vis, who has worked at big trading firms like Optiver and IMC.

Date: Tuesday, 12th March

Time: 19:30

Location: TS53 C-1.05

This seminar is intended to provide participants with a hands-on experience, covering topics like understanding option pricing strategies, analysing market-making dynamics, and experiencing the various jobs within trading houses like Da Vinci and Citadel. Learn what it takes to be a profitable trader and how your aptitude for maths can lead to fascinating job prospects in the fast-paced trading industry.

We have an information session before the guest lecture at 18:30 for members interested in applying for the 30th Board of Vectum. During this time, all the roles and responsibilities associated with each position are covered in detail, and you will have the chance to ask any questions about the role(s) you are considering applying for!

After the information session and the lecture, we will see you at the Preuv!

Sign up for the Guest Lecture and/or Board Information Session below:

The last research lecture of the year will be given by Antoon Pelsser, Professor of Finance and Actuarial Science at SBE, but also Honorary Fellow of the Institute of Actuaries. He will present one of his current projects for the parliament: The new model of the Dutch Parameter Committee for pricing and projecting pension liabilities. If you’re interested in a preview of the lecture, Antoon summarised it below:

The Dutch parliament is currently voting on a new Dutch pension bill, which will result in a large reform of the Dutch pension system. As part of the transition to the new system, the Dutch minister of Social Affairs has asked the co-called “Parameter Committee” to develop an updated model for pricing and projecting pension liabilities. I was one of the members of this committee, and in this research lecture I will present a summary of the new CP22 model.

The lecture will take place at SBE, TS53 C-1.03, at 19:00.

The evening will end with drinks at the Preuverij. 🍻

This period’s research lecture is given by Son Tran, PhD candidate at the KE (Quantitative Economics) department in Operations Research. He will present his current research topic: Anticipatory Order Picking. If you’re interested in a preview of the lecture, Son summarised it below:

E-commerce activities put warehouses under high pressure. First, the smaller order sizes result in efficiency loss when retrieving the requested items from storage due to missing economies of scale, while the cost for handling and packaging of these smaller orders tends to be higher. Second, the very short delivery lead times require warehouses to respond to incoming customer orders within hours or even minutes. Because of this short planning horizon, customer demand is highly uncertain up to the moment that a customer places the order. Such a high degree of dynamism makes it more challenging to operate at minimum cost and easily leads to ad-hoc decisions and missed opportunities for optimization.

To deal with such a high degree of dynamism and uncertainty while ensuring high efficiency in our picking operations, we make use of anticipatory order picking (AOP). The core idea is to explicitly incorporate forecast information, provided by machine learning methods, and allow the picking of products even before they are actually ordered by the customer. As such, products can be picked when their cost (marginal travel time) is low, which results in a reduced total travel time compared to the situation in which products can only be picked once ordered. Our research also reveals that AOP leads to a better capacity utilization, a more balanced workload and an earlier completion time for picking all customer orders over the full planning horizon.

The lecture will take place at SBE, TS53 C-1.03, at 19:00.

For those interested in taking part in Vectum’s succession, we also organise a Board Information Session. During this info session, each board member will present their role and you’ll get the opportunity to ask questions and discuss with us.

The information session will also be in C-1.03 at 20:15.

The evening will end with drinks at the Preuverij. 🍻

This period’s research lecture is given by Dewi Peerlings, member of the KE (Quantitative Economics) department since 2018, and currently finishing her PhD. She will present her current research area: Road Sensor Traffic Flow Density Estimation Using Neural Networks. If you’re interested in a preview of the lecture, Dewi summarised it below:

Explaining traffic flow is important for planning purposes and for developing intelligent transport systems. Such estimations often are based on road sensor data which contain missing and erroneous data points due to sensor malfunctioning. We propose to apply a non-parametric probability density function (PDF) estimation based on Neural Networks (NN) to pre-process road sensor data and to report the properties of the traffic flow distribution. We extend the literature in two ways. First, we propose a density estimation method instead of the standard point estimation method as to account for raw data and estimation uncertainty as well as to report the probability of e.g. extreme events in traffic flow. Second, we design NNs to specifically allow for correlations between adjacent road sensors. We apply the proposed method to data obtained from highways in The Netherlands belonging to different sensors on the same highway section and coded as time series of vehicle counts. We show that the proposed model captures properties of these data and can be used as a pre-processing and density estimation method.

The lecture will take place at SBE, TS53 C-1.03, at 19:00.

The evening will end with drinks at the Preuverij. 🍻

The next research lecture of the year will be given by Thijs Kamma. He is a Ph.D. candidate at the Department of Quantitative Economics, and he also fought through the bachelor's and the master's in Econometrics & OR at UM. Thijs will present his paper "Dual Formulation of the Optimal Consumption Problem with Multiplicative Habit Formation“, which was co-written with Antoon Pelsser. Here's a little something to get you intrigued

“This paper provides a dual formulation of the optimal consumption problem with internal multiplicative habit formation. In this problem, the agent derives utility from the ratio of consumption to the internal habit component. Due to this multiplicative specification of the habit model, the optimal consumption problem is not strictly concave and incorporates irremovable path-dependency. As a consequence, standard Lagrangian techniques fail to supply a candidate for the corresponding dual formulation. Using Fenchel's Duality Theorem, we manage to identify a candidate formulation and prove that it satisfies strong duality. On the basis of this strong duality result, we develop an evaluation mechanism to measure the accuracy of analytical or numerical approximations to the optimal solutions.”

To hear more on the topic, join us coming Tuesday, February 1, at 19:00 via the button below!

You can now sign-up for the extra tutorials of period 2. In this period, we will be giving the first-year courses: “Linear Algebra” and “Analysis 1”. If you feel like you're having trouble understanding these courses or just want some more explanation on the topics, it might be wise to use the extra tutorials. These tutorials will be given by students who have mastered the courses and are very good at explaining the material to other students. The tutorials will be given in a physical setting, at the university.

Below you can find a brief overview of the courses:

Analysis 1:

• The tutors for this course are: Emil Dotchev and Merle Praum

• The tutorials will take place in weeks 3 to 7

• A total of 5 tutorials, two hours each, will be given, with the price of €75,-

You can use the button below to sign-up. The deadline for signing up is Wednesday the 10th of November, 23:59.

Linear Algebra:

• The tutors for this course are: Marie Corillon and Amber Rerimassie

• The tutorials will take place in weeks 4 to 7

• A total of 4 tutorials, two hours each, will be given, with the price of €60,-

You can use the button below to sign-up. The deadline for signing up is Wednesday the 3th of November, 23:59.

The second research lecture of the year will be given by Marie Ternes. She is a PhD student at the Department of Quantitative Economics, and she also fought through the bachelor and the master in Econometrics at UM. In fact, she was actively involved in Vectum and was the secretary during the academic year of 2016/2017! Marie will present her paper "Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions“, which was co-written with Alain Hecq and Ines Wilms. Here's a sneak peek into the paper: 

Vector AutoRegressive (VAR) models are a cornerstone for modeling multivariate time series; for studying their dynamics and for forecasting. However, a serious complication of macroeconomic forecasting with VARs is that macro and financial time series are usually recorded at different frequencies. For instance, the gross domestic product (GDP) is collected at quarterly frequency. Other series such as unemployment rate or inflation are released at monthly frequency. The money supply is published weekly and financial data such as stock prices are even available at daily frequency. If the objective is to forecast e.g., quarterly GDP, economic and financial indicators which are published at a monthly, weekly or even daily frequency, may be useful to improve forecast accuracy. While the standard VAR can only be used for time series of the same frequency, mixed-frequency VARs (MF-VAR) form an appealing alternative since they avoid the need of data aggregation and are able to exploit the information available in series recorded at different frequencies. However, for MF-VARs the number of parameters to estimate grows quickly. For these so-called "high-dimensional" models, standard econometric methods fail. In the paper, we address the "curse of dimensionality" through the convex regularization framework. The basic idea is to impose a simplifying structure on the parameter estimates and encourage the estimation towards that structure. I will show how we specifically do this for MF-VARs and how the estimator can be applied to the U.S. economy.

To hear more on the topic, join us coming Tuesday, November 9, at 19:00 via the button below!

After the intellectual stimulation, we will head to the Preuverij for some drinks.

Besides having fun together, we at Vectum like to keep our brains in shape too. The first one for this year to take on this heavy task is one of UM’s Assistant Professors - Marc Schröder. Coming Tuesday, September 21, at 19:00, he will give us a taste of the applications of Game Theory by leading the Research Lecture “Network routing: from static to dynamic games”. If you’re feeling curious already, take a look at the small abstract from Marc Schröder himself:

Network routing games are used to model settings like traffic networks in which the travel time increases with the number of users. In this research lecture, I will give an overview of several different routing games. Starting with static routing games, we study the existence and efficiency of Wardrop equilibria. Static routing games are motivated by the long-run steady-state of traffic networks, but clearly, traffic flows are rarely static. That is why we continue with a class of dynamic routing games. We consider its queuing dynamics and analyse its equilibria.

As an added bonus, we, the board of Vectum, will briefly tell you about the various committees you can join to help strengthen the association. So, do you feel like getting active at Vectum, and want some more information? Then definitely join us this Tuesday, September 21, at 18:00!

Sign up using the button below!

The upcoming guest lecture will be presented by Dr. Hande Karabiyik from the VU in Amsterdam. Climate change is slowly creeping upon us, and it is, therefore, important to know how these changes can impact our daily lives and our economy. Dr. Hande Karabiyik will be talking about how to measure the effects of climate change on the economy. So if you are interested in econometrics and its application to climate, then you are more than welcome to join us next Thursday the 29th of April at 19:00 on zoom. If you are not sure what the topic is about, then have a look at a small abstract from dr. Hande Karabiyik herself:

Title: Climate econometrics: Measuring the effects of climate change on the economy

What are the economic impacts of climate change? Effective policy responses to climate change depend on how accurately this question is answered. Traditionally, empirical models have been used to quantify the economic impacts of climate change. These empirical models are estimated from available data by using econometric methods. This lecture will focus on the role of econometrics in our responses to climate change. The topic will be explored by considering examples of published empirical studies and focusing on the econometric approaches adopted by these studies. Moreover, we will discuss how using advanced econometric techniques leads to a better understanding of the relation between the climate and the economy.

Some additional information about the guest speaker:
Hande Karabiyik is an associate professor at the department of Econometrics and Data Science at the VU Amsterdam. Previously, she was a postdoctoral researcher at the Department of Economics of Lund University, Sweden. She obtained her PhD degree at Maastricht University in January 2015.

Sign up using the button below!

Vectum proudly presents the first challenge of their kind: Zoometrics! Do you want to experience the daily excitements of Econometricians? You are given the golden opportunity to do so this February 22, 2021, and it will cost you only 3 hours of your time. Think of 2 of the greatest minds around you and form your dream team. If you want to go ahead of the competition and get through all the tasks that we prepared, we urge you to step out of the comfort zone of your friend’s circle and reach out to fellow Vectum members in various years of study. In case you feel like a gamble, you can also sign up for one of the teams at random and let your teammates be a surprise. We will try our best to assemble these teams to have students in different years of the study programme, giving younger students a chance to meet and learn from their peers who are further on in their studies.

Together you will join forces to tackle 3 tasks using real-life data with a software/package of your choice. You certainly don’t need to be the Olympian of the Hackathon, but basic knowledge of Excel (for BSc first-years and second-years) and EViews/ R/ Stata/ MATLAB/ anything similar (for BSc third-years and above), is required. Having an R environment at your disposal will also come in handy, so we strongly recommend installing it (it’s free). Otherwise, you can access it through Athena Desktop.

The Zoometrics Challenge will take place via Zoom from 16:00 to 19:00 on 22/02/2021. Successful participants of the case will receive official Vectum Certificates. The challenge awaits you!

Deadline for signing up is the 20th of Febuary 23:59

On  5th and 6th February 2021, the Institute of Data Science is hosting a series of events for the 2nd Women in Data Science Datathon in the Netherlands. You will gain or improve your data science skills by building, testing, and exploring solutions to tackle a challenge from real-life patient health data. Following the WiDS mission, you will work on the data challenge in a gender-balanced team. Students and professionals from both academia and industry can join our events full of creativity, inspiration, and fun. If you are unsure about your data science skills, check out our training sessions on 5th and 6th February 2021 in the morning. 

Try something new, apply what you know, learn from other participants and improve your data science skills along the way! Register before 31st Jan 2021 and click here or the button below for more information.

Expand your knowledge in the academic world of econometrics! On the evening of the 30th September, we will be holding an in-person event at the SBE. Hosted by Enrico Wegner, where we will discuss the famous topic of "Bayesian Vs. Frequentist Methodology in Economics". Everyone is welcome to join! You can actively participate in the discussion or just listen to what people have to say about the topic, either way, you will get new insights and learn a lot about important problems in econometrics.

The main paper we will be discussing can be found in the attachment. If you want to follow the discussion easily, we recommend you to carefully read the paper. Of course, you can use other material as well.

You can sign up using the button below:

You can download the pdf version of the article here, or view the slideshow below: