Past

We construct a model for asset price in a limit order book, which captures on one hand main stylized facts of microstructure effects, and on the other hand is tractable for dealing with optimal high frequency trading by stochastic control methods. For this purpose, we introduce a model for describing the fluctuations of a tick-by-tick single asset price, based on Markov renewal process.

We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments. By modeling the marks with a suitable Markov chain, we can reproduce the strong mean-reversion of price returns known as microstructure noise. Moreover, by using Markov renewal process, we can model the presence of spikes in intensity of market activity, i.e. the volatility clustering. We also provide simple parametric and nonparametric statistical procedures for the estimation of our model. We obtain closed-form formulae for the mean signature plot, and show the diffusive behavior of our model at large scale limit. We illustrate our results by numerical simulations, and find that our model is consistent with empirical data on futures Euribor and Eurostoxx. In a second part, we use a dynamic programming approach to our semi Markov model applied to the problem of optimal high frequency trading with a suitable modeling of market order flow correlated with the stock price, and taking into account in particular the adverse selection risk. We show a reduced-form for the value function of the associated control problem, and provide a convergent and computational scheme for solving the problem. Numerical tests display the shape of optimal policies for the market making problem.

This talk is based on joint works with Pietro Fodra.

The use of tensed language and the metaphor of set "formation" found in informal descriptions of the iterative conception of set are seldom taken at all seriously. This talk offers an axiomatisation of the iterative conception in a bimodal language and presents some reasons to thus take the tense more seriously than usual (although not literally).

I will introduce star products and formal connections and describe approaches to the problem of finding a trivialization of the formal Hitchin connection, using graph-theoretical computations.

The dynamics of networks of interacting systems depend intricately on the interaction topology. Dynamical implications of local topological properties such as the nodes' degrees and global topological properties such as the degree distribution have intensively been studied. Mesoscale properties, by contrast, have only recently come into the sharp focus of network science but have

rapidly developed into one of the hot topics in the field. Current questions are: can considering a mesoscale structure such as a single subgraph already allow conclusions on dynamical properties of the network as a whole? And: Can we extract implications that are independent of the embedding network? In this talk I will show that certain mesoscale subgraphs have precise and distinct

consequences for the system-level dynamics. In particular, they induce characteristic dynamical instabilities that are independent of the structure of the embedding network.

We present a block LU factorization with panel rank revealing

pivoting (block LU_PRRP), an algorithm based on strong

rank revealing QR for the panel factorization.

Block LU_PRRP is more stable than Gaussian elimination with partial

pivoting (GEPP), with a theoretical upper bound of the growth factor

of $(1+ \tau b)^{(n/ b)-1}$, where $b$ is the size of the panel used

during the block factorization, $\tau$ is a parameter of the strong

rank revealing QR factorization, and $n$ is the number of columns of

the matrix. For example, if the size of the panel is $b = 64$, and

$\tau = 2$, then $(1+2b)^{(n/b)-1} = (1.079)^{n-64} \ll 2^{n-1}$, where

$2^{n-1}$ is the upper bound of the growth factor of GEPP. Our

extensive numerical experiments show that the new factorization scheme

is as numerically stable as GEPP in practice, but it is more resistant

to some pathological cases where GEPP fails. We note that the block LU_PRRP

factorization does only $O(n^2 b)$ additional floating point operations

compared to GEPP.

Calculus of Variations for $L^{\infty}$ functionals has a successful history of 50 years, but until recently was restricted to the scalar case. Motivated by these developments, we have recently initiated the vector-valued case. In order to handle the complicated non-divergence PDE systems which arise as the analogue of the Euler-Lagrange equations, we have introduced a theory of "weak solutions" for general fully nonlinear PDE systems. This theory extends Viscosity Solutions of Crandall-Ishii-Lions to the general vector case. A central ingredient is the discovery of a vectorial notion of extremum for maps which is a vectorial substitute of the "Maximum Principle Calculus" and allows to "pass derivatives to test maps" in a duality-free fashion. In this talk we will discuss some rudimentary aspects of these recent developments.

This is joint work with Angus Macintyre. I will discuss new developments in 
our work on the model theory of adeles concerning model theoretic 
properties of adeles and related issues on adelic geometry and number theory.

I will show how to construct an infinite family of totally geodesic surfaces in the figure eight knot complement that do not remain totally geodesic under certain Dehn surgeries. If time permits, I will explain how this behaviour can be understood via the theory of quadratic forms.

We study the nonhomogeneous boundary value problem for Navier--Stokes equations of steady motion of a viscous incompressible fluid in  a plane or spatial exterior domain with multiply connected boundary. We prove that this problem has a solution for axially symmetric case (without any restrictions on fluxes, etc.)  No restriction on the size of fluxes are required. This is a joint result with K.Pileckas and R.Russo.

I will discuss what it means to compactify complex Lie groups and introduce the so-called "Wonderful Compactification" of groups having trivial centre. I will then show how the wonderful compactification of PGL(n) can be described in terms of complete collineations. Finally, I will discuss how the new perspective provided by complete collineations provides a way to construct compactifications of arbitrary semisimple groups.

One of the most classical questions of modern algebra is whether the group algebra of a torsion-free group can be embedded into a skew field. I will give a short survey about embeddability of group algebras into skew fields, matrix rings and, in general, continuous rings.

In this talk we aim to study periodic orbits on the energy levels of a symplectic magnetic flow on the two-sphere using methods from contact geometry. In particular we show that, if the energy is low enough, we either have two or infinitely many closed orbits. The second alternative holds if there exists a prime contractible periodic orbit. Finally we present some generalisations and work in progress for closed orientable surfaces of higher genus.

A new benchmark, High Performance Conjugate Gradient (HPCG), finally was introduced recently for the Top500 list and the Green500 list. This will draw more attention to performance of sparse iterative solvers on distributed supercomputers and energy efficiency of hardware and software. At the same time, this will more widely promote the concept that communications are the bottleneck of performance of iterative solvers on distributed supercomputers, here we will go a little deeper, discussing components of communications and discuss which part takes a dominate share. Also discussed are mathematics tricks to detect some metrics of an underlying supercomputer.

Nesetril and Ossona de Mendez introduced a new notion of convergence of graphs called FO convergence. This notion can be viewed as a unified notion of convergence of dense and sparse graphs. In particular, every FO convergent sequence of graphs is convergent in the sense of left convergence of dense graphs as studied by Borgs, Chayes, Lovasz, Sos, Szegedy, Vesztergombi and others, and every FO convergent sequence of graphs with bounded maximum degree is convergent in the Benjamini-Schramm sense.

FO convergent sequences of graphs can be associated with a limit object called modeling. Nesetril and Ossona de Mendez showed that every FO convergent sequence of trees with bounded depth has a modeling. We extend this result

to all FO convergent sequences of trees and discuss possibilities for further extensions.

The talk is based on a joint work with Martin Kupec and Vojtech Tuma.

We discuss the development of finite element techniques and solvers for magma dynamics computations. These are implemented within the FEniCS framework. This approach allows for user-friendly, expressive, high-level code development, but also provides access to powerful, scalable numerical solvers and a large family of finite element discretizations. The ability to easily scale codes to three dimensions with large meshes means that efficiency of the numerical algorithms is vital. We therefore describe our development and analysis of preconditioners designed specifically for finite element discretizations of equations governing magma dynamics. The preconditioners are based on Elman-Silvester-Wathen methods for the Stokes equation, and we extend these to flows with compaction.  This work is joint with Andrew Wathen and Richard Katz from the University of Oxford and Laura Alisic, John Rudge and Garth Wells from the University of Cambridge.

This talk will be a gentle introduction to the main ideas behind some of the obstructions to the Hasse principle. In particular, I'll focus on the Brauer-Manin obstruction and on the descent obstruction, and explain briefly how other types of obstructions could be constructed.

A new nematic phase has recently been discovered and characterized experimentally. It embodies a theoretical prediction made by Robert B. Meyer in 1973 on the basis of mere symmetry considerations to the effect that a nematic phase might also exist which in its ground state would acquire a 'heliconical' configuration, similar to the chiral molecular arrangement of cholesterics, but with the nematic director precessing around a cone about the optic axis. Experiments with newly synthetized materials have shown chiral heliconical equilibrium structures with characteristic pitch in the range of 1o nanometres and cone semi-amplitude of about 20 degrees. In 2001, Ivan Dozov proposed an elastic theory for such (then still speculative) phase which features a negative bend elastic constant along with a quartic correction to the nematic energy density that makes it positive definite. This lecture will present some thoughts about the possibility of describing the elastic response of twist-bend nematics within a purely quadratic gradient theory.