The problem of authorship attribution (AA) involves matching a text of unknown authorship with its creator, found among a pool of candidate authors. In this work, we examine in detail authorship attribution methods that rely on networks of function words to detect an “authorial fingerprint” of literary works. Previous studies interpreted these word adjacency networks (WANs) as Markov chains, giving transition rates between function words, and they compared them using information-theoretic measures. Here, we apply a variety of network flow-based tools, such as role-based similarity and community detection, to perform a direct comparison of the WANs. These tools reveal an interesting relation between communities of function words and grammatical categories. Moreover, we propose two new criteria for attribution based on the comparison of connectivity patterns and the similarity of network partitions. The results are positive, but importantly, we observe that the attribution context is an important limiting factor that is often overlooked in the field's literature. Furthermore, we give important new directions that deserve further consideration.

Coupling dynamics of the states of the nodes of a network to the dynamics of the network topology leads to generic absorbing and fragmentation transitions. The coevolving voter model is a typical system that exhibits such transitions at some critical rewiring. We study the robustness of these transitions under two distinct ways of introducing noise. Noise affecting all the nodes destroys the absorbing-fragmentation transition, giving rise in finite-size systems to two regimes: bimodal magnetization and dynamic fragmentation. Noise targeting a fraction of nodes preserves the transitions but introduces shattered fragmentation with its characteristic fraction of isolated nodes and one or two giant components. Both the lack of absorbing state for homogeneous noise and the shift in the absorbing transition to higher rewiring for targeted noise are supported by analytical approximations.

Paper Link:

https://journals.aps.org/pre/abstract/10.1103/PhysRevE.92.032803

In the 1990s Moy and Prasad revolutionized the representation theory of p-adic groups by showing how to use Bruhat-Tits theory to assign invariants to representations of p-adic groups. The tools they introduced resulted in rapid advancements in both representation theory and harmonic analysis -- areas of central importance in the Langlands program. A crucial ingredient for many results is an explicit construction of (types for) representations of p-adic groups. In this talk I will indicate why, survey what constructions are known (no knowledge about p-adic groups assumed) and present recent developments based on a refinement of Moy and Prasad's invariants.​

Tanut Treetanthiploet
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Exploration vs Exploitation under Statistical Uncertainty

The exploration vs Exploitation trade-off can be quantified and studied through the notion of statistical uncertainty using the theory of nonlinear expectations. The dynamic allocation problem of multi-armed bandits will be discussed. In the case of a finite state space in discrete time, we can describe the value function in terms of the solution to a discrete BSDE and obtain a similar notion to the Bellman equation. We also give an approximation scheme to evaluate decisions in the simple setting.


Julien Vaes
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Optimal Execution Strategy Under Price and Volume Uncertainty

In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as in the power market, in which the volume to be traded can only be estimated and becomes more accurate when approaching a specified delivery time. To meet the need of efficient strategies in these situations, we have developed  a model that accounts for volume uncertainty and show that a risk-averse trader has benefit in delaying their trades. We show that the optimal strategy is a trade-off between early and late trades to balance risk associated to both price and volume. With the incorporation of a risk term for the volume to trade, the static optimal strategies obtained with our model avoid the explosion in the algorithmic complexity associated to dynamic programming solutions while yielding to competitive performance.
 

We consider a price-mediated contagion framework in which each bank, after an exogenous shock, may have to sell assets in order to comply with regulatory constraints. Interaction between banks takes place only through price impact. We characterize the equilibrium of the strategic deleveraging problem and we calibrate our model to publicly-available data, the US banks that were part of the 2015 regulatory stress-tests. We then consider a more sophisticated model in which each bank is exposed to two risky assets (marketable and not marketable) and is only able to sell the marketable asset. We calibrate our model using the six banks with significant trading operations and we show that, depending on the price impact, the contagion of failures may be significant. Our results may be used to refine current stress testing frameworks by incorporating potential contagion mechanisms between banks. This is joint work with Yann Braouezec.

Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading actions. The market has latent factors that drive prices, and agents account for the permanent impact they have on prices. This leads to a large stochastic game, where each agents' performance criteria is computed under a different probability measure. We analyse the mean-field game (MFG) limit of the stochastic game and show that the Nash equilibria is given by the solution to a non-standard vector-valued forward-backward stochastic differential equation. Under some mild assumptions, we construct the solution in terms of expectations of the filtered states. We prove the MFG strategy forms an \epsilon-Nash equilibrium for the finite player game. Lastly, we present a least-squares Monte Carlo based algorithm for computing the optimal control and illustrate the results through simulation in market where agents disagree on the model.
[ joint work with Philippe Casgrain, U. Toronto ]