Frontiers in Quantitative Finance Seminar: Pierre Henry-Labordere (SocGen)
Frontiers in Quantitative Finance seminar: Pierre Henry-Labordere (SocGen)
Venue
Citi Stirling Square
5-7 Carlton Gardens
London SW1Y 5AD
Frontiers in Quantitative Finance seminar: Pierre Henry-Labordere (SocGen)
Venue
Citi Stirling Square
5-7 Carlton Gardens
London SW1Y 5AD
G. Dimitrov and L. Katzarkov introduced in their paper from 2016 the counting of non-commutative curves and their (semi-)stability using T. Bridgeland's stability conditions on triangulated categories. To some degree one could think of this as the non-commutative analog of Gromov-Witten theory. However, its full meaning has not yet been fully discovered. For example there seems to be a relation to proving Markov's conjecture.
For the talk, I will go over the definitions of stability conditions, non-commutative curves and their counting. After developing some tools relying on working with exceptional collections, I will consider the derived category of representations on the acyclic triangular quiver and will talk about the explicit computation of the invariants for this example.
In the 1920s Weyl proved the first non-trivial estimate for the Riemann zeta function on the critical line: \zeta(1/2+it) << (1+|t|)^{1/6+\epsilon}. The analogous bound for a Dirichlet L-function L(1/2,\chi) of conductor q as q tends to infinity is still unknown in full generality. In a breakthrough around 2000, Conrey and Iwaniec proved the analogue of the Weyl bound for L(1/2,\chi) when \chi is assumed to be quadratic of conductor q. Building on the work of Conrey and Iwaniec, we show (joint work with Matt Young) that the Weyl bound for L(1/2,\chi) holds for all primitive Dirichlet characters \chi. The extension to all moduli q is based on aLindelöf-on-average upper bound for the fourth moment of Dirichlet L-functions of conductor q along a coset of the subgroup of characters modulo d when q^*|d, where q^* is the least positive integer such that q^2|(q^*)^3.
In biological cells, genomic DNA is complexed with proteins, forming so-called chromatin structure, and packed into the nucleus. Not only the nucleotide (A, T, G, C) sequence of DNA but also the 3D structure affects the genomic function. For example, certain regions of DNA are tightly packed with proteins (heterochromatin), which inhibits expression of genes coded there. The structure sometimes changes drastically depending on the state (e.g. cell cycle or developmental stage) of the cell. Hence, the structural dynamics of chromatin is now attracting attention in cell biology and medicine. However, it is difficult to experimentally observe the motion of the entire structure in detail. To combine and interpret data from different modes of observation (such as live imaging and electron micrograph) and predict the behavior, structural models of chromatin are needed. Although we can use molecular dynamics simulation at a microscopic level (~ kilo base-pairs) and for a short time (~ microseconds), we cannot reproduce long-term behavior of the entire nucleus. Mesoscopic models are wanted for that purpose, however hard to develop (there are fundamental difficulties).
In this seminar, I will introduce our recent theoretical/computational studies of chromatin structure, either microscopic (molecular dynamics of DNA or single nucleosomes) or abstract (polymer models and reaction-diffusion processes), toward development of such a mesoscopic model including local "states" of DNA and binding proteins.
References:
T. Kameda, A. Awazu, Y. Togashi, "Histone Tail Dynamics in Partially Disassembled Nucleosomes During Chromatin Remodeling", Front. Mol. Biosci., in press (2019).
Y. Togashi, "Modeling of Nanomachine/Micromachine Crowds: Interplay between the Internal State and Surroundings", J. Phys. Chem. B 123, 1481-1490 (2019).
E. Rolls, Y. Togashi, R. Erban, "Varying the Resolution of the Rouse Model on Temporal and Spatial Scales: Application to Multiscale Modelling of DNA Dynamics", Multiscale Model. Simul. 15, 1672-1693 (2017).
S. Shinkai, T. Nozaki, K. Maeshima, Y. Togashi, "Dynamic Nucleosome Movement Provides Structural Information of Topological Chromatin Domains in Living Human Cells", PLoS Comput. Biol. 12, e1005136 (2016).
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Everybody is familiar with the concept of eigenvalues of a matrix. In this talk, we consider the nonlinear eigenvalue problem. These are problems for which the eigenvalue parameter appears in a nonlinear way in the equation. In physics, the Schroedinger equation for determining the bound states in a semiconductor device, introduces terms with square roots of different shifts of the eigenvalue. In mechanical and civil engineering, new materials often have nonlinear damping properties. For the vibration analysis of such materials, this leads to nonlinear functions of the eigenvalue in the system matrix.
One particular example is the sandwhich beam problem, where a layer of damping material is sandwhiched between two layers of steel. Another example is the stability analysis of the Helmholtz equation with a noise excitation produced by burners in a combustion chamber. The burners lead to a boundary condition with delay terms (exponentials of the eigenvalue).
We often receive the question: “How can we solve a nonlinear eigenvalue problem?” This talk explains the different steps to be taken for using Krylov methods. The general approach works as follows: 1) approximate the nonlinearity by a rational function; 2) rewrite this rational eigenvalue problem as a linear eigenvalue problem and then 3) solve this by a Krylov method. We explain each of the three steps.
I will present recent results concerning a class of nonlinear parabolic systems of partial differential equations with small cross-diffusion (see doi.org/10.1051/m2an/2018036 and arXiv:1906.08060). Such systems can be interpreted as a perturbation of a linear problem and they have been proposed to describe the dynamics of a variety of large systems of interacting particles. I will discuss well-posedness, regularity, stability and convergence to the stationary state for (strong) solutions in an appropriate Banach space. I will also present some applications and refinements of the above-mentioned results for specific models.
I will present joint work with A. Pillay on the theory of NIP formulas in arbitrary groups, which exhibit a local formulation of the notion of finitely satisfiable generics (as defined by Hrushovski, Peterzil, and Pillay). This setting generalizes ``local stable group theory" (i.e., the study of stable formulas in groups) and also the case of arbitrary NIP formulas in pseudofinite groups. Time permitting, I will mention an application of these results in additive combinatorics.
We will discuss what it means to study the homology of a group via the construction of the classifying space. We will look at some examples of this construction and some of its main properties. We then use this to define and study the homology of the mapping class group of oriented surfaces, focusing on the approach used by Harer to prove his Homology Stability Theorem.
In this talk, I will introduce the notion of a sheaf on a topological space. I will then explain why "topological spaces" are an artificial limitation on enjoying life (esp. cohomology) to the fullest and what to do about that (answer: sites). Sheaves also fail our needs, but they have a suitable natural upgrade (i.e. stacks).
This talk will be heavily peppered with examples that come from the world around you (music, torsors, etc.).
Congruence monoids in the ring of integers are given by certain unions of arithmetic progressions. To each congruence monoid, there is a canonical way to associate a semigroup C*-algebra. I will explain this construction and then discuss joint work with Xin Li on K-theoretic invariants. I will also indicate how all of this generalizes to congruence monoids in the ring of integers of an arbitrary algebraic number field.
Enumerative algebraic geometry counts the solutions to certain geometric constraints. Numerical algebraic geometry determines these solutions for any given
instance. This lecture illustrates how these two fields complement each other, especially in the light of emerging new applications. We start with a gem from
the 19th century, namely the 3264 conics that are tangent to five given conics in the plane. Thereafter we turn to current problems in statistics, with focus on
maximum likelihood estimation for linear Gaussian covariance models.
The Approximate Message Passing (AMP) algorithm is a powerful iterative method for reconstructing undersampled sparse signals. Unfortunately, AMP is sensitive to the type of sensing matrix employed and frequently encounters convergence problems. One case where AMP tends to fail is compressed sensing MRI, where Fourier coefficients of a natural image are sampled with variable density. An AMP-inspired algorithm constructed specifically for MRI is presented that exhibits a 'state evolution', where at every iteration the image estimate before thresholding behaves as the ground truth corrupted by Gaussian noise with known covariance. Numerical experiments explore the practical benefits of such effective noise behaviour.
We analyze the asymptotic relative size of the largest independent set of a random d-regular graph on n → ∞ vertices. This problem is very different depending on d because of a surprising phase transition. This is somewhat similar to finding the density of ``water'' above and below its freezing point. These phase transitions are related to algorithmic thresholds, mixing properties, counting, graph reconstruction, graph limits and other questions. We are still far from a complete understanding of all these questions. Our tools are partially coming from statistical physics.
Boundary integral equations (BIEs) are well established for solving scattering at bounded infinitely thin objects, so-called screens, which are modelled as “open surfaces” in 3D and as “open curves” in 2D. Moreover, the unknowns of these BIEs are the jumps of traces across $\Gamma$. Things change considerably when considering scattering at multi-screens, which are arbitrary arrangements of thin panels that may not be even locally orientable because of junction points (2D) or junction lines (3D). Indeed, the notion of jumps of traces is no longer meaningful at these junctions. This issue can be solved by switching to a quotient space perspective of traces, as done in recent work by Claeys and Hiptmair. In this talk, we present the extension of the quotient-space approach to the Galerkin boundary element (BE) discretization of first-kind BIEs. Unlike previous approaches, the new quotient-space BEM relies on minimal geometry information and does not require any special treatment at junctions. Moreover, it allows for a rigorous numerical analysis.
Recent advances in experimental imaging techniques have allowed us to observe the fine details of how droplets behave upon impact onto a substrate. However, these are highly non-linear, multiscale phenomena and are thus a formidable challenge to model. In addition, when the substrate is deformable, such as an elastic sheet, the fluid-structure interaction introduces an extra layer of complexity.
We present two modeling approaches for droplet impact onto deformable substrates: matched asymptotics and direct numerical simulations. In the former, we use Wagner's theory of impact to derive analytical expressions which approximate the behavior during the early time of impact. In the latter, we use the open source volume-of-fluid code Basilisk to conduct simulations designed to give insight into the later times of impact.
We conclude by showing how these methods are complementary, and a combination of both can give a thorough understanding of the droplet impact across timescales.
Identifying systemically important countries is crucial for global financial stability. In this work we use (multilayer) network methods to identify systemically important countries. We study the financial system as a multilayer network, where each layer represent a different type of financial investment between countries. To rank countries by their systemic importance, we implement MultiRank, as well a simplistic model of financial contagion. In this first model, we consider that each country has a capital buffer, given by the capital to assets ratio. After the default of an initial country, we model financial contagion with a simple rule: a solvent country defaults when the amount of assets lost, due to the default of other countries, is larger than its capital. Our results show that when we consider that there are various types of assets the ranking of systemically important countries changes. We make all our methods available by introducing a python library. Finally, we propose a more realistic model of financial contagion that merges multilayer network theory and the contingent claims sectoral balance sheet literature. The aim of this framework is to model the banking, private, and sovereign sector of each country and thus study financial contagion within the country and between countries.
Productive generalization: one reason we will never run out of interesting mathematical questions.
Tim Gowers is one of the world's leading mathematicians. He is a Royal Society Research Professor at the Department of Pure Mathematics and Mathematical Statistics at the University of Cambridge, where he also holds the Rouse Ball chair, and is a Fellow of Trinity College, Cambridge. In 1998, he received the Fields Medal for research connecting the fields of functional analysis and combinatorics.
After his lecture Tim will be in conversation with Hannah Fry. Hannah is a lecturer in the Mathematics of Cities at the Centre for Advanced Spatial Analysis at UCL. She is also a well-respected broadcaster and the author of several books including the recently published 'Hello World: How to be Human in the Age of the Machine.'
This lecture is in partnership with the Science Museum in London where it will take place.
Science Museum, Exhibition Road, London, SW7 2DD
Please email @email to register.
Watch live:
https://facebook.com/OxfordMathematics
https://livestream.com/oxuni/gowers
The Oxford Mathematics Public Lectures are generously supported by XTX Markets.
An Art Exhibition and a Light & Music Concert
Katharine Beaugié - Light Sculpture
Medea Bindewald - Harpsichord
Curated by Balázs Szendrői
Concert: 18 November, 6.45pm followed by a reception
Exhibition: 18th November – 6th December 2019, Mon-Fri, 8am-6pm
Applied Pure is a unique collaboration between light sculptor Katharine Beaugié and international concert harpsichordist Medea Bindewald, combining the patterns made by water and light with the sound of harpsichord music in a mathematical environment.
Katharine Beaugié will also be exhibiting a new series of large-scale photograms (photographic shadows), displaying the patterns of the natural phenomena of human relationship with water and light.
The Programme of music for harpsichord and water includes the composers: Domenico Scarlatti (1685-1757), Johann Jakob Froberger (1616-1667), Enno Kastens (b 1967) and Johann Sebastian Bach (1685-1750).
For more information about the concert and exhibition which is FREE please click this link
Image of Drop | God 2018
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A subset of the integers larger than 1 is called $\textit{primitive}$ if no member divides another. Erdős proved in 1935 that the sum of $1/(n \log n)$ over $n$ in a primitive set $A$ is universally bounded for any choice of $A$. In 1988, he famously asked if this universal bound is attained by the set of prime numbers. In this talk we shall discuss some recent progress towards this conjecture and related results, drawing on ideas from analysis, probability, & combinatorics.
The Gibbons-Hawking ansatz is a powerful method for constructing a large family of hyperkaehler 4-manifolds (which are thus Ricci-flat), which appears in a variety of contexts in mathematics and theoretical physics. I will describe work in progress to understand the theory of minimal surfaces and mean curvature flow in these 4-manifolds. In particular, I will explain a proof of a version of the Thomas-Yau Conjecture in Lagrangian mean curvature flow in this setting. This is joint work with G. Oliveira.
The smooth mapping class group of the 4-sphere is pi_0 of the space of orientation preserving self-diffeomorphisms of S^4. At the moment we have no idea whether this group is trivial or not. Watanabe has shown that higher homotopy groups can be nontrivial. Inspired by Watanabe's constructions, we'll look for interesting self-diffeomorphisms of S^4. Most of the talk will be an outline for a program to find a nice geometric generating set for this mapping class group; a few small steps in the program are actually theorems. The point of finding generators is that if they are explicit enough then you have a hope of either showing that they are all trivial or finding an invariant that is well adapted to obstructing triviality of these generators.