Past

Part of the series "What do historians of mathematics do?"

The talk will set out the key debate in England at the Restoration, the need for a new orientation in mathematics towards algebra and the new "analysis". It will focus on efforts by three central players in England's mathematical community, John Pell, John Collins, and the Oxford mathematician John Wallis to produce an English language algebra text which would play a pioneering role in promoting this change. What was the background to the work we now call Pell's Algebra and why was it so significant?

We study a model for lipid-bilayer membrane vesicles exhibiting phase separation, incorporating a phase field together with membrane fluidity and bending elasticity. We prove the existence of a plethora of equilibria in the large, corresponding to symmetry-breaking solutions of the Euler-Lagrange equations. We also numerically compute a special class of such solutions, namely those possessing icosahedral symmetry. We overcome several difficulties along the way. Due to inherent surface fluidity combined with finite curvature elasticity, neither the Eulerian (spatial) nor the Lagrangian (material) description of the model lends itself well to analysis. This is resolved via a singularity-free radial-map description, which effectively eliminates the grossly under-determined mid-plane deformation. We then use well known group-theoretic selection techniques combined with global bifurcation methods to obtain our results.

We will discuss a construction of cobordism maps on the full link complex for decorated link cobordisms. We will focus on some formal properties, such as grading change formulas and local relations. We will see how several expressions for mapping class group actions can be interpreted in terms of pictorial relations on decorated surfaces. Similarly, we will see how these pictorial relations give a "connected sum formula" for the involutive concordance invariants of Hendricks and Manolescu.

Lyons’ theory of rough paths allows us to solve stochastic differential equations driven by a Gaussian processes X of finite p-variation. The rough integral of the solutions against X again exists. We show that the solution also belong to the domain of the divergence operator of the Malliavin derivative, so that the 'Skorohod integral' of the solution with respect to X can also be defined. The latter operation has some properties in common with the Ito integral, and a natural question is to find a closed-form conversion formula between this rough integral and its Malliavin divergence. This is particularly useful in applications, where often one wants to compute the (conditional) expectation of the rough integral. In the case of Brownian motion our formula reduces to the classical Stratonovich-to-Ito conversion formula. There is an interesting difference between the formulae obtained in the cases 2<=p<3 and 3<=p<4, and we consider the reasons for this difference. We elaborate on the connection with previous work in which the integrand is generally assumed to be the gradient of a smooth function of X_{t}; we show that our formula can recover these results as special cases. This is joint work with Nengli Lim.

Let Q be a uniformly random quadrangulation with simple boundary decorated by a critical (p=3/4) face percolation configuration.  We prove that the chordal percolation exploration path on Q between two marked boundary edges converges in the scaling limit to SLE(6) on the Brownian disk (equivalently, a Liouville quantum gravity surface).  The topology of convergence is the Gromov-Hausdorff-Prokhorov-uniform topology, the natural analog of the Gromov-Hausdorff topology for curve-decorated metric measure spaces.  Our method of proof is robust and, up to certain technical steps, extends to any percolation model on a random planar map which can be explored via peeling.  Joint work with E. Gwynne.

I shall discuss Zauner's conjecture about the existence of n^2 mutually equidistant points in complex projective space CP^{n-1} with its standard Fubini-Study metric. This is the so-called SIC-POVM problem, and is related to properties of the moment mapping that embeds CP^{n-1} into the Lie algebra su(n). In the case n=3, there is an obvious 1-parameter family of such sets of 9 points under the action of SU(3) and we shall sketch a proof that there are no others. This is joint work with Lane Hughston.

Understanding the structure of hadrons in terms of their fundamental constituents requires an understanding of QCD at large distances, a vastly complex and unsolved dynamical problem. I will discuss in this talk a new approach to hadron structure based on superconformal quantum mechanics in the light-front and its holographic embedding in a higher dimensional gravity theory. This approach captures essential aspects of the confinement dynamics which are not apparent from the QCD Lagrangian, such as the emergence of a mass scale and confinement, the occurrence of a zero mode: the pion, universal Regge trajectories for mesons and baryons and precise connections between the light meson and nucleon spectra. This effective semiclassical approach to relativistic bound-state equations in QCD can be extended to heavy-light hadrons where heavy quark masses break the conformal invariance but the underlying dynamical supersymmetry holds.
 

Professor Uta Frith FRS is a distinguished developmental psychologist who is well known for her pioneering research on autism spectrum disorders. She also has a long-standing interest in matters relating to diversity in science, and is the Chair of the Royal Society's Diversity Committee. Oxford Mathematician Dr Maria Bruna is a Junior Research Fellow in Mathematics at St John's College, and has won prizes such as the L'Oréal-UNESCO UK and Ireland For Women in Science Fellowship and the Olga Taussky Pauli Fellowship, Wolfgang Pauli Institute. This informal discussion will no doubt include a range of topics -- but it is hard to say in advance where the conversation might go!

In my research I model three components of the Earth system: the ice sheets, the ocean, and the solid Earth. In the first half of this talk I will describe the traditional approach that is used to model the impact of ice sheet growth and decay on global sea-level change and solid Earth deformation. I will then go on to explain how collaboration across the fields of glaciology, geodynamics and seismology is providing exciting new insight into feedbacks between ice dynamics and solid Earth deformation.

Biomedical research and clinical practice rely on complex and multimodality

datasets for the characterisation of human organs in health and disease. In

computational biomedicine, we often argue that multiscale computational

models are and will be increasingly required as tools for data integration,

for probing the established knowledge of physiological systems, and for

predictions of the effects of therapies and disease. But what has

computational biomedicine delivered so far? This presentation will describe

successes, failures and future directions of computational models in

cardiac research from basic to translational science.

I spent a number of years trading government bonds and interest-rate derivatives for Barclays Capital. This included the period of the financial crisis, and I was a colleague of some of the Barclays traders charged with fraud related to LIBOR rate manipulation. I will present a some examples of common trading scenarios, and some of the ethical issues these might raise for quants.
 

Let A be an abelian variety over the function field K of a curve over a finite field of characteristic p>0. We shall show that the group A(K^{p^{-\infty}}) is finitely generated, unless severe restrictions are put on the geometry of A. In particular, we shall show that if A is ordinary and has a point of bad reduction then A(K^{p^{-\infty}}) is finitely generated. This result can be used to give partial answers to questions of Scanlon, Ziegler, Esnault, Voloch and Poonen.

Conventional neutron reflection is a very powerful tool to characterise surfactants, polymers and other materials at the solid/liquid and air/liquid interfaces. Usually the analysis considers molecular layers with coherent addition of reflected waves that give the resultant reflected intensity. In this short workshop talk I will illustrate recent developments in this approach to address a wide variety of challenges of academic and commercial interest. Specifically I will introduce the challenges of using substrates that are thick on the coherence lengthscale of the radiation and the issues that brings in the structural analysis. I also invite the audience to consider if there may be some mathematical analysis that might lead us to exploit this incoherence to optimise our analysis. In particular, facilitating the removal of the 'background substrate contribution' to help us focus on the adsorbed layers of most interest.

I will review the notion of classifying topos of a first-order (geometric) theory and explain the central role enjoyed by theories of presheaf type (i.e. classified by a presheaf topos) in the context of the topos-theoretic investigation of the model theory of geometric theories. After presenting a few main results and characterizations for theories of presheaf type, I will illustrate the generality of the point of view provided by this class of theories by discussing a topos-theoretic framework unifying and generalizing Fraissé’s construction in model theory and topological Galois theory and leading to an approach to the problem of the independence from l of l-adic cohomology.

In 2016, Habegger and Pila published a proof of the Zilber-Pink conjecture for curves in abelian varieties (all defined over $\mathbb{Q}^{\rm alg}$). Their article also contained a proof of the same conjecture for a product of modular curves that was conditional on a strong arithmetic hypothesis. Both proofs were extensions of the Pila-Zannier strategy based in o-minimality that has yielded many results in this area. In this talk, we will explain our generalisation of the strategy to the Zilber-Pink conjecture for any Shimura variety. This is joint work with J. Ren.

Floer (co)homology, invariant which recovers periodic orbits of a Hamiltonian system, is the central topic of symplecic topology at present. Its analogue for open symplecic manifolds is called symplectic (co)homology. Our goal is to compute this invariant for big family of spaces called Nakajima's Quiver Varieties, spaces obtained as hyperkahler quotients of representation spaces of quivers.
 

Considerable attention has been recently focused on the study of muscle tissues viewed as prototypes of new materials that can actively generate stresses. The intriguing mechanical properties of such systems can be linked to hierarchical internal architecture. To complicate matters further, they are driven internally by endogenous mechanisms supplying energy and maintaining non-equilibrium.  In this talk we review the principal mechanisms of force generation in muscles and discuss the adequacy of the available mathematical models.

We  study  the  concept  of   financial  bubble  under model uncertainty.
We suppose the agent to be endowed with a family Q of local martingale measures for  the  underlying  discounted  asset  price. The priors are allowed to be mutually singular to each other.
One fundamental issue is the definition of a well-posed concept of robust fundamental value of a given  financial asset.
Since in this setting we have no linear pricing system, we choose to describe robust fundamental values through superreplication prices.
To this purpose, we investigate a dynamic version of robust superreplication, which we use
to  introduce  the  notions  of  bubble  and  robust  fundamental  value  in  a  consistent way with the existing literature in the classical case of one prior.

This talk is based on the works [1] and [2].

[1] Biagini, F. , Föllmer, H. and Nedelcu, S. Shifting martingale measures
and the slow birth of a bubble as a submartingale, Finance and
Stochastics: Volume 18, Issue 2, Page 297-326, 2014.

[2] Biagini, F., Mancin, J.,
Financial Asset Price Bubbles under Model 
Uncertainty, Preprint, 2016.

Structural optimization can be interpreted as the attempt to find the best mechanical structure to support specific load cases respecting some possible constraints. Within this context, topology optimization aims to obtain the connectivity, shape and location of voids inside a prescribed structural design domain. The methods for the design of stiff lightweight structures are well established and can already be used in a specific range of industries where such structures are important, e.g., in aerospace and automobile industries.

In this seminar, we will go through the basic engineering concepts used to quantify and analyze the computational models of mechanical structures. After presenting the motivation, the methods and mathematical tools used in structural topology optimization will be discussed. In our method, an implicit level set function is used to describe the structural boundaries. The optimization problem is approximated by linearization of the objective and constraint equations via Taylor’s expansion. Shape sensitivities are used to evaluate the change in the structural performance due to a shape movement and to feed the mathematical optimiser in an iterative procedure. Recent developments comprising multiscale and Multiphysics problems will be presented and a specific application proposal including acoustic-structure interaction will be discussed.

We determine the hydrodynamic limit of some kinetic equations with either stochastic Vlasov force term or stochastic collision kernel. We obtain stochastic second-order parabolic equations at the limit. In the regime we consider, we also observe (or do not observe) some phenomena of enhanced diffusion. Joint works with Nils Caillerie, Arnaud Debussche, Martina Hofmanová.
 

We discuss a recent preprint by Aschenbrenner, Khélif, Naziazeno and
Scanlon, giving a positive solution to the ring-analogue of Pop's
problem on elementary equivalence vs isomorphism. 

For every $\epsilon>0$ does there exist some $n\in\mathbb{N}$ and a bijection $f:\mathbb{Z}_n\to\mathbb{Z}_n$ such that $f(x+1)=2f(x)$ for at least $(1-\epsilon)n$ elements of $\mathbb{Z}_n$ and $f(f(f(f(x))))=(x)$ for all $x\in\mathbb{Z}_n$? I will discuss this question and its relation to an important open problem in the theory of countable discrete groups.

Coisotropic submanifolds arise naturally in symplectic geometry as level sets of moment maps and in algebraic geometry in the context of normal crossing divisors. In examples, the Marsden-Weinstein quotient or (Fano) complete intersections are often uniruled. 
We show that under natural geometric assumptions on a coisotropic submanifold, the symplectic quotient of the coisotropic is always geometrically uniruled. 
I will explain how to assign a Lagrangian and a hypersurface to a fibered, stable coisotropic C. The Lagrangian inherits a fibre bundle structure from C, the hypersurface captures the generalised Reeb dynamics on C. To derive the result, we then adapt and apply techniques from Lagrangian Floer theory and symplectic field theory.
This is joint work with Jonny Evans.
 

Many extremal results on cycles use what may be called BFS method, where a breath first search tree is used as a skeleton to build desired structures. A well-known example is the Bondy-Simonovits theorem that every n-vertex graph with more than 100kn^{1+1/k} edges contains an even cycle of length 2k. The standard BFS method, however, is not easily applicable for supersaturation problems where one wishes to show the existence of many copies of a given  subgraph. The method is also not easily applicable in the hypergraph setting.

In this talk, we focus on some variants of the standard BFS method. We use one of these in conjunction with some useful general reduction theorems that we develop to establish the supersaturation of loose (linear) even cycles in linear hypergraphs. This extends Simonovits' supersaturation theorem on even cycles in graphs. This is joint work with Liana Yepremyan.

If time allows, we will also discuss another variant (joint with Jie Ma) used in the study of Berge cycles of consecutive lengths in hypergraphs.

Heckman introduced N operators on the space of polynomials in N variables, such that these operators form a covariant set relative to permutations of the operators and variables, and such that Jack symmetric polynomials are eigenfunctions of the power sums of these operators. We introduce the analogues of these N operators for Macdonald symmetric polynomials, by using Cherednik operators. The latter operators pairwise commute, and Macdonald polynomials are eigenfunctions of their power sums. We compute the limits of our operators at N → ∞ . These limits yield a Lax operator for Macdonald symmetric functions. This is a joint work with Evgeny Sklyanin.

What's the continuous analog of randn?  In recent months I've been exploring such questions with Abdul-Lateef Haji-Ali and other members of the Chebfun team, and Chebfun now has commands randnfun, randnfun2, randnfunsphere, and randnfundisk.  These are based on finite Fourier series with random coefficients, and interesting questions arise in the "white noise" limit as the lengths of the series approaches infinity and as random ODEs become stochastic DEs.    This work is at an early stage and we are grateful for input from stochastic experts at Oxford and elsewhere.

Multi-agent systems in nature oftentimes exhibit emergent behaviour, i.e. the formation of patterns in the absence of a leader or external stimuli such as light or food sources. We present a non-local two species crossinteraction model with cross-diffusion and explore its long-time behaviour. We observe a rich zoology of behaviours exhibiting phenomena such as mixing and/or segregation of both species and the formation of travelling pulses.

 Locality is not expected to be a fundamental aspect of a full theory of quantum gravity; it should be emergent in an appropriate semiclassical limit.  In the context of general holography, I'll define a new construct - the causal state - which provides a necessary and sufficient condition for a boundary state to have a holographic semiclassical dual causal geometry (and thus be "local").  This definition illuminates some general features of holographic quantum gravity: for instance, I'll show that the emergence of locality is "all or nothing" in the sense that it exhibits features of quantum error correction and quantum secret sharing.  In the special case of AdS/CFT, I'll also argue that the causal state is the natural boundary dual to the so-called causal wedge of a region. 

Part of the series "What do historians of mathematics do?"  
In the last year of 14th century, a French mathematician/geometer Jean Mignot, was called from Paris to help with the construction of the Cathedral of Milan. Thus was created one of the most famous stories about how mathematics literally supports great works of art, helping them stand the test of time. This talk will look at some patterns that begin to become apparent in the investigations of the relationship between architecture and mathematics and the creativity that is common to the pursuit of both. I will present the case on how this may matter to someone who is interested in the history of mathematics. To make this more intelligible, I will partly talk also of my personal journey in investigating this relationship and the issues I have researched and written about, and how these in turn changed my view of the nature of mathematics education. 

Various concepts of weak solution have been suggested for the fundamental equations of fluid dynamics over the last few decades. However, such weak solutions may be non-unique, or at least their uniqueness is unknown. Nevertheless, a conditional notion of uniqueness, the so-called weak-strong uniqueness, can be established in various situations. We present some recent results, both positive and negative, on weak-strong uniqueness in the realm of incompressible and compressible fluid dynamics. Applications to the convergence of numerical schemes will be indicated.

After giving an introduction to functorial field theories I will explain a natural generalization thereof, called "twisted" field theories by Stolz-Teichner. The definition uses the notion of lax or oplax natural transformations of strong functors of higher categories for which I will sketch a framework. I will discuss the fully extended case, which gives a comparison to Freed-Teleman's "relative" boundary field theories. Finally, I will explain some examples, one of which explicitly arises from factorization homology and whose target is the higher Morita category of E_n-algebras, bimodules, bimodules of bimodules etc.

In certain cases of (linear) partial differential equations random perturbations have been observed to cause regularizing effects, in some cases even producing the uniqueness of solutions. In view of the long-standing open problems of uniqueness of solutions for certain PDE arising in fluid dynamics such results are of particular interest. In this talk we will extend some known results concerning the well-posedness by noise for linear transport equations to the nonlinear case.

Recent work in regularity structures has provided a robust solution theory for a wide class of singular SPDEs. While much progress has been made on understanding the analytic and algebraic aspects of renormalisation of the driving signal, the action of the renormalisation group on the equation still needed to be performed by hand. In this talk, we aim to give a systematic description of the renormalisation procedure directly on the level of the PDE, which allows for explicit computation of the form of the renormalised equation. Joint work with Yvain Bruned, Ajay Chandra, and Martin Hairer.

The moduli space M(G) of Higgs bundles for a complex reductive group G on a compact Riemann surface carries a natural hyperkahler structure and it comes equipped with an algebraically completely integrable system through a flat projective morphism called the Hitchin map. Motivated by mirror symmetry, I will discuss certain complex Lagrangians (BAA-branes) in M(G) coming from real forms of G and give a proposal for the mirror (BBB-brane) in the moduli space of Higgs bundles for the Langlands dual group of G.  In this talk, I will focus on the real groups SU^*(2m), SO^*(4m) and Sp(m,m). The image under the Hitchin map of Higgs bundles for these groups is completely contained in the discriminant locus of the base and our analysis is carried out by describing the whole
(singular) fibres they intersect. These turn out to be certain subvarieties of the moduli space of rank 1 torsion-free sheaves on a non-reduced curve. If time permits we will also discuss another class of complex Lagrangians in M(G) which can be constructed from symplectic representations of G.

A heterotic $G_2$ system is a quadruple $([Y,\varphi], [V, A], [TY,\theta], H)$ where $Y$ is a seven dimensional manifold with an integrable <br /> $G_2$ structure $\varphi$, $V$ is a bundle on $Y$ with an instanton connection $A$, $TY$ is the tangent bundle with an instanton connection $\theta$ and $H$ is a three form on $Y$ determined uniquely by the $G_2$ structure on $Y$. Further, H  is constrained so that it satisfies a condition that involves the Chern-Simons forms of $A$ and $\theta$, thus mixing the geometry of $Y$ with that of the bundles (this is the so called anomaly cancelation condition).  In this talk I will describe the tangent space of the moduli space of these systems. We first prove that a heterotic system is equivalent to an exterior covariant derivative $\cal D$ on the bundle ${\cal Q} = T^*Y\oplus {\rm End}(V)\oplus {\rm End}(TY)$ which satisfies $\check{\cal D}^2 = 0$ for some appropriately defined projection of the operator $\cal D$.  Remarkably, this equivalence implies the (Bianchi identity of) the anomaly cancelation condition. We show that the infinitesimal moduli space is given by the cohomology group $H^1_{\check{\cal D}}(Y, {\cal Q})$ and therefore it is finite dimensional.   Our analysis leads to results that are of relevance to all orders in $\alpha’$.  Time permitting, I will comment on work in progress about the finite deformations of heterotic $G_2$ systems and the relation to differential graded Lie algebras.

Hinke Osinga, University of Auckland
joint work with: Bernd Krauskopf and Stefanie Hittmeyer (University of Auckland)

Dynamical systems of Lorenz type are similar to the famous Lorenz system of just three ordinary differential equations in a well-defined geometric sense. The behaviour of the Lorenz system is organised by a chaotic attractor, known as the butterfly attractor. Under certain conditions, the dynamics is such that a dimension reduction can be applied, which relates the behaviour to that of a one-dimensional non-invertible map. A lot of research has focussed on understanding the dynamics of this one-dimensional map. The study of what this means for the full three-dimensional system has only recently become possible through the use of advanced numerical methods based on the continuation of two-point boundary value problems. Did you know that the chaotic dynamics is organised by a space-filling pancake? We show how similar techniques can help to understand the dynamics of higher-dimensional Lorenz-type systems. Using a similar dimension-reduction technique, a two-dimensional non-invertible map describes the behaviour of five or more ordinary differential equations. Here, a new type of chaotic dynamics is possible, called wild chaos. 

For a prime number p, we will consider completed group algebras, or Iwasawa algebras, of the form kG, for G a complete p-valued group of finite rank, k a field of characteristic p. Classifying the ideal structure of Iwasawa algebras has been an ongoing project within non-commutative algebra and representation theory, and we will discuss ideas related to this topic based on previous work and try to extend it. An important concept in studying ideals of group algebras is the notion of controlling ideals, where we say a closed subgroup H of G controls a right ideal I of kG if I is generated by a subset of kH. It was proved by Konstantin Ardakov in 2012 that for G nilpotent, every faithful prime ideal of kG is controlled by the centre of G, and it follows that the prime spectrum of kG can be realised as the disjoint union of commutative strata. I am hoping to extend this to a more general case, perhaps to when G is solvable. A key step in the proof is to consider a faithful prime ideal P in kG, and an automorphism of G, trivial mod centre, that fixes P. By considering the Mahler expansion of the automorphism, and approximating the coefficients, we can examine sequences of bounded k-linear functions of kG, and study their convergence. If we find that they converge to an appropriate quantized divided power, we can find proper open subgroups of G that control P. I have extended this notion to larger classes of automorphisms, not necessarily trivial mod centre, using which this proof can be replicated, and in some cases extended to when G is abelian-by-procyclic. I will give some examples, for G with small rank, for which these ideas yield results.

I will explain the model theoretic notion of ampleness
and present the geometric context of recent constructions.

Symmetry has played a critical role both for composers and in the creation of musical instruments. From Bach’s Goldberg Variations to Schoenberg’s Twelve-tone rows, composers have exploited symmetry to create variations on a theme. But symmetry is also embedded in the very way instruments make sound. The lecture will culminate in a reconstruction of nineteenth-century scientist Ernst Chladni's exhibition that famously toured the courts of Europe to reveal extraordinary symmetrical shapes in the vibrations of a metal plate.

The lecture will be preceded by a demonstration of the Chladni plates with the audience encouraged to participate. Each of the 16 plates will have their own dials to explore the changing input and can accommodate 16 players at a time. Participants will be able to explore how these shapes might fit together into interesting tessellations of the plane. The ultimate idea is to create an aural dynamic version of the walls in the Alhambra.

The lecture will start at 5pm, but the demonstration will be available from 2.30pm.

Please email @email to register

The aim of this talk is to explain how to axiomatize Hilbert's Theorem 90, in the setting of (the cohomology with finite coefficients of) profinite groups. I shall first explain the general framework.  It includes, in particular, the use of divided power modules over Witt vectors; a process which appears to be of independent interest in the theory of modular representations. I shall then give several applications to Galois cohomology, notably to the problem of lifting mod p Galois representations (or more accurately: torsors under these) modulo higher powers of p. I'll also explain the connection with the Bloch-Kato conjecture in Galois cohomology, proved by Rost, Suslin and Voevodsky. This is joint work in progress with Charles De Clercq.

What can maths tell us about this topic? Do mathematicians even have a seat at the table, and should we? What do we know about directed networks and dynamical systems that can contribute to this?

We consider the implications of the mathematical modelling and analysis of neurone-to-neurone dynamical complex networks. We explain how the dynamical behaviour of relatively small scale strongly connected networks lead naturally to non-binary information processing and thus to multiple hypothesis decision making, even at the very lowest level of the brain’s architecture. This all looks a like a a loose  coupled array of  k-dimensional clocks. There are lots of challenges for maths here. We build on these ideas to address the "hard problem" of consciousness - which other disciplines say is beyond any mathematical explanation for ever! 

We discuss how a proposed “dual hierarchy model”, made up from both externally perceived, physical, elements of increasing complexity, and internally experienced, mental elements (which we argue are equivalent to feelings), may support a leaning and evolving consciousness. We introduce the idea that a human brain ought to be able to re-conjure subjective mental feelings at will. An immediate consequence of this model  is that finite human brains must always be learning and forgetting and that any possible subjective internal feeling that might be fully idealised only with a countable infinity of facets, could never be learned completely a priori by zombies or automata: it may be experienced more and more fully by an evolving human brain (yet never in totality, not even in a lifetime). 

We study risk-sharing equilibria with trading subject to small proportional transaction costs. We show that the frictionless equilibrium prices also form an "asymptotic equilibrium" in the small-cost limit. To wit, there exist asymptotically optimal policies for all agents and a split of the trading cost according to their risk aversions for which the frictionless equilibrium prices still clear the market. Starting from a frictionless equilibrium, this allows to study the interplay of volatility, liquidity, and trading volume.
(This is joint work with Johannes Muhle-Karbe, University of Michigan.)