Past Seminars

10 June 2021
16:45
Cornelia Drutu

Further Information: 

Part of UK virtual operator algebras seminar: https://sites.google.com/view/uk-operator-algebras-seminar/home

Abstract

In this talk I will discuss a number of topics at the interface between C* algebras and Geometric Group Theory, with an emphasis on Kazhdan projections, various versions of amenability and their connection to the geometry of groups. This is based on joint work with P. Nowak and J. Mackay.

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  • Functional Analysis Seminar
10 June 2021
16:00
FELIX PRENZEL
Abstract

 

Orders in major electronic stock markets are executed through centralised limit order books (LOBs). Large amounts of historical data have led to extensive research modeling LOBs, for the purpose of better understanding their dynamics and building simulators as a framework for controlled experiments, when testing trading algorithms or execution strategies.Most work in the literature models the aggregate view of the limit order book, which focuses on the volume of orders at a given price level, using a point process. In addition to this information, brokers and exchanges also have information on the identity of the agents submitting the order. This leads to a more granular view of limit order book dynamics, which we attempt to model using a heterogeneous model of order flow.

We present a granular representation of the limit order book that allows to account for the origins of different orders. Using client order flow from a major broker, we analyze the properties of variables in this representation. The heterogeneity of order flow is modeled by segmenting clients into different clusters, for which we identify representative prototypes. This segmentation appears to be stable both over time as well as over different stocks. Our findings can be leveraged to build more realistic order flow models that account for the diversity of the market participants.

  • Mathematical and Computational Finance Internal Seminar
10 June 2021
16:00
Blanka Horvath

Further Information: 

Abstract

Techniques that address sequential data have been a central theme in machine learning research in the past years. More recently, such considerations have entered the field of finance-related ML applications in several areas where we face inherently path dependent problems: from (deep) pricing and hedging (of path-dependent options) to generative modelling of synthetic market data, which we refer to as market generation.

We revisit Deep Hedging from the perspective of the role of the data streams used for training and highlight how this perspective motivates the use of highly-accurate generative models for synthetic data generation. From this, we draw conclusions regarding the implications for risk management and model governance of these applications, in contrast to risk management in classical quantitative finance approaches.

Indeed, financial ML applications and their risk management heavily rely on a solid means of measuring and efficiently computing (similarity-)metrics between datasets consisting of sample paths of stochastic processes. Stochastic processes are at their core random variables with values on path space. However, while the distance between two (finite dimensional) distributions was historically well understood, the extension of this notion to the level of stochastic processes remained a challenge until recently. We discuss the effect of different choices of such metrics while revisiting some topics that are central to ML-augmented quantitative finance applications (such as the synthetic generation and the evaluation of similarity of data streams) from a regulatory (and model governance) perspective. Finally, we discuss the effect of considering refined metrics which respect and preserve the information structure (the filtration) of the market and the implications and relevance of such metrics on financial results.

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10 June 2021
16:00
Adam Dor On

Further Information: 

Part of UK virtual operator algebras seminar: https://sites.google.com/view/uk-operator-algebras-seminar/home

Abstract

We showcase some newly emerging connections between the theory of random walks and operator algebras, obtained by associating concrete algebras of operators to random walks. The C*-algebras we obtain give rise to new and interesting notions of ratio limit space and boundary, which are computed by appealing to various works on the asymptotic behavior of transition probabilities for random walks. Our results are leveraged to shed light on a question of Viselter on symmetry-unique quotients of Toeplitz C*-algebras of subproduct systems arising from random walks.

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  • Functional Analysis Seminar
10 June 2021
14:00
Alan Edelman

Further Information: 

Joint seminar with the Random Matrix Theory group

Abstract

An insightful exercise might be to ask what is the most important idea in linear algebra. Our first answer would not be eigenvalues or linearity, it would be “matrix factorizations.” We will discuss a blueprint to generate 53 inter-related matrix factorizations (times 2) most of which appear to be new. The underlying mathematics may be traced back to Cartan (1927), Harish-Chandra (1956), and Flensted-Jensen (1978) . We will discuss the interesting history. One anecdote is that Eugene Wigner (1968) discovered factorizations such as the SVD in passing in a way that was buried and only eight authors have referenced that work. Ironically Wigner referenced Sigurður Helgason (1962) but Wigner did not recognize his results in Helgason's book. This work also extends upon and completes open problems posed by Mackey² & Tisseur (2003/2005).

Classical results of Random Matrix Theory concern exact formulas from the Hermite, Laguerre, Jacobi, and Circular distributions. Following an insight from Freeman Dyson (1970), Zirnbauer (1996) and Duenez (2004/5) linked some of these classical ensembles to Cartan's theory of Symmetric Spaces. One troubling fact is that symmetric spaces alone do not cover all of the Jacobi ensembles. We present a completed theory based on the generalized Cartan distribution. Furthermore, we show how the matrix factorization obtained by the generalized Cartan decomposition G=K₁AK₂ plays a crucial role in sampling algorithms and the derivation of the joint probability density of A.

Joint work with Sungwoo Jeong

 

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A link for this talk will be sent to our mailing list a day or two in advance.  If you are not on the list and wish to be sent a link, please contact trefethen@maths.ox.ac.uk.

  • Computational Mathematics and Applications Seminar
10 June 2021
14:00
Alan Edelman

Further Information: 

This is jointly organised with Computational Mathematics and Applications Seminars.

Abstract

An insightful exercise might be to ask what is the most important idea in linear algebra. Our first answer would not be eigenvalues or linearity, it would be “matrix factorizations.”  We will discuss a blueprint to generate  53 inter-related matrix factorizations (times 2) most of which appear to be new. The underlying mathematics may be traced back to Cartan (1927), Harish-Chandra (1956), and Flensted-Jensen (1978) . We will discuss the interesting history. One anecdote is that Eugene Wigner (1968) discovered factorizations such as the svd in passing in a way that was buried and only eight authors have referenced that work. Ironically Wigner referenced Sigurður Helgason (1962) but Wigner did not recognize his results in Helgason's book. This work also extends upon and completes open problems posed by Mackey²&Tisseur (2003/2005).

Classical results of Random Matrix Theory concern exact formulas from the Hermite, Laguerre, Jacobi, and Circular distributions. Following an insight from Freeman Dyson (1970), Zirnbauer (1996) and Duenez (2004/5) linked some of these classical ensembles to Cartan's theory of Symmetric Spaces. One troubling fact is that symmetric spaces alone do not cover all of the Jacobi ensembles. We present a completed theory based on the generalized Cartan distribution. Furthermore, we show how the matrix factorization obtained by the generalized Cartan decomposition G=K₁AK₂ plays a crucial role in sampling algorithms and the derivation of the joint probability density of A.

Joint work with Sungwoo Jeong.

  • Random Matrix Theory Seminars
10 June 2021
13:00
Daniel Harris
Abstract

Understanding the motion of small bodies at a fluid interface has relevance to a range of natural systems and technological applications. In this talk, we discuss two systems where capillarity and fluid inertia govern the dynamics of millimetric particles at a fluid interface.

In the first part, we present a study of superhydrophobic spheres impacting a quiescent water bath.  Under certain conditions particles may rebound completely from the interface - an outcome we characterize in detail through a synthesis of experiments, modeling, and direct numerical simulation.  In the second half, we introduce a system wherein millimetric disks trapped at a fluid interface are vertically oscillated and spontaneously self-propel.  Such "capillary surfers" interact with each other via their collective wavefield and self-assemble into a myriad of cooperative dynamic states.  Our experimental observations are well captured by a first theoretical model for their dynamics, laying the foundation for future investigations of this highly tunable active system.

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  • Industrial and Applied Mathematics Seminar
10 June 2021
10:00
Thibault Decoppet
Abstract

The goal of this talk is to present some elementary examples of fusion 2-categories whilst doing as little higher category theory as possible. More precisely, it turns out that up to a canonical completion operation, certain higher fusion categories are entirely described by their maximal subspaces. I will briefly motivate this completion operation in the 1-categorical case, and go on to explain why working with spaces is good enough in this particular case. Then, we will review some fact about $E_n$-algebras, and why they come into the picture. Finally, we will have a look at some small examples arising from finite groups.

  • Junior Topology and Group Theory Seminar
8 June 2021
14:15
Giles Gardam
Abstract

Three conjectures on group rings of torsion-free groups are commonly attributed to Kaplansky, namely the unit, zero divisor and idempotent conjectures. For example, the zero divisor conjecture predicts that if $K$ is a field and $G$ is a torsion-free group, then the group ring $K[G]$ has no zero divisors. I will survey what is known about the conjectures, including their relationships to each other and to other conjectures and group properties, and present my recent counterexample to the unit conjecture.

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