Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

 

Past events in this series


Thu, 22 Jan 2026

16:00 - 17:00
L5

Bayesian dynamic portfolio optimization with informative constraints

Jonathan Tam
((Mathematical Institute University of Oxford))
Abstract
There is a recent debate on whether sustainable investing necesarily impact portfolio performance negatively. We model the financial impact of portfolio constraints by attributing the performance of dynamic portfolios to contributions from individual constraints. We consider a mean-variance portfolio problem with unknown asset returns. Investors impose a dynamic constraint based on a firm characteristic that contains information about returns, such as the environmental, social, and governance (ESG) score. We characterize the optimal investment strategy through two stochastic Riccati equations. Using this framework, we demonstrate that, depending on the correlation between returns and firm characteristics, incorporating the constraint can, in certain cases, enhance portfolio performance compared to a passive benchmark that disregards the information embedded in these constraints. Our results shed light on the role of implicit information contained in constraints in determining the performance of a constrained portfolio.
 
This project is joint work with Ruixun Zhang (Peking University), Yufei Zhang (Imperial College London) and Xunyu Zhou (Columbia University).
 


 

Thu, 05 Feb 2026

16:00 - 17:00
L5

Linking Path-Dependent and Stochastic Volatility Models

Cephas Svosve
((Mathematical Institute University of Oxford))
Abstract
We explore a link between stochastic volatility (SV) and path-dependent volatility (PDV) models. Using assumed density filtering, we map a given SV model into a corresponding PDV representation. The resulting specification is lightweight, improves in-sample fit, and delivers robust out-of-sample forecasts. We also introduce a calibration procedure for both SV and PDV models that produces standard errors for parameter estimates and supports joint calibration of SPX/VIX smile.


 

Thu, 12 Feb 2026

16:00 - 17:00
L5

TBA

Florian Gutekunst
(University of Warwick)
Abstract

TBA

Thu, 19 Feb 2026

16:00 - 17:00
L5

The Neutrinos of the Order Book: what do rejected orders tell us?

Prof. Sam Howison
((Mathematical Institute University of Oxford))
Abstract

Conventional data feeds from exchanges, even L3 feeds, generally only tell one what happened: accepted submissions of maker and taker orders,  cancellations, and the evolution of the order book and the best bid and ask prices. However, by analyzing a dataset derived from the blockchain of the highly liquid cryptocurrency exchange Hyperliquid, we are able to see all messages (4.5 bn in our one-month sample), including rejections. Unexpectedly, almost 60% of message traffic is generated by submission and subsequent rejection of a single order type: post-only limit orders sent to the 'wrong' (aggressive) side of the book, for example a buy limit order at a price at or above the best ask. Such orders are automatically rejected on arrival except in the (rare) case that the price moves up while the order is in transit. Nearly 30% of message traffic relates to cancellations, leaving a small fraction for all other messages.

I shall describe this order flow in detail, then address the question of why message traffic is dominated by rejected submissions which, by their nature, do not influence the order book in any way at all, and are invisible to all traders except the submitter. We propose that the reason lies in a market-making strategy whose aim is to gain queue priority immediately after any price change, and I shall show how the evidence supports this hypothesis. I shall also discuss the risk/return characteristics of the strategy, and finally discuss its pivotal role in replenishing liquidity following a price move.

Joint work with Jakob Albers, Mihai Cucuringu and Alex Shestopaloff.

Thu, 05 Mar 2026

16:00 - 17:00
L5

TBA

Vlad Tuchilu
((Mathematical Institute University of Oxford))
Abstract

TBA