String topology is an umbrella under which lives a family of algebraic structures on the homology of the (compact-open) loop space of a closed smooth manifold, M. Of great interest are the string product and coproduct, in view of the failure of the latter to be a homotopy invariant. We will discuss some existing algebraic and geometric perspectives on these operations, and give some examples that probe the extent to which the string coproduct fails to be a homotopy invariant. We will sketch an alternative point of view on string topology as the study of the derived bornological smooth loop stack and explain why this is a promising model for the observed phenomena of string topology.

We build statistical models to describe how market participants choose the direction, price, and volume of orders. Our dataset, which spans sixteen weeks for four shares traded in Euronext Amsterdam, contains all messages sent to the exchange and includes algorithm identification and member identification. We obtain reliable out-of-sample predictions and report the top features that predict direction, price, and volume of orders sent to the exchange. The coefficients from the fitted models are used to cluster trading behaviour and we find that algorithms registered as Liquidity Providers exhibit the widest range of trading behaviour among dealing capacities. In particular, for the most liquid share in our study, we identify three types of behaviour that we call (i) directional trading, (ii) opportunistic trading, and (iii) market making, and we find that around one third of Liquidity Providers behave as market markers.

This is based on work with Álvaro Cartea, Saad Labyad, Leandro Sánchez-Betancourt and Leon van Veldhuijzen. View the working paper here.
 

Attendance is free of charge but requires prior online registration. To register please click here.

The signature kernel is one of the most powerful measures of similarity for sequences of arbitrary length accompanied with attractive theoretical guarantees from stochastic analysis. Previous algorithms to compute the signature kernel scale quadratically in terms of the length and the number of the sequences. To mitigate this severe computational bottleneck, we develop a random Fourier feature-based acceleration of the signature kernel acting on the inherently non-Euclidean domain of sequences. We show uniform approximation guarantees for the proposed unbiased estimator of the signature kernel, while keeping its computation linear in the sequence length and number. In addition, combined with recent advances on tensor projections, we derive two even more scalable time series features with favourable concentration properties and computational complexity both in time and memory. Our empirical results show that the reduction in computational cost comes at a negligible price in terms of accuracy on moderate-sized datasets, and it enables one to scale to large datasets up to a million time series.

Please click here to read the full paper.

Perverse equivalences, introduced by Chuang and Rouquier, are derived equivalences with a particularly nice combinatorial description. This generalised an earlier construction, with which they proved Broué’s abelian defect group conjecture for blocks of the symmetric groups. Perverse equivalences are of much wider significance in the representation theory of finite dimensional symmetric algebras. Grant has shown that periodic algebras admit perverse autoequivalences. In a similar vein, I will present some perverse equivalences arising from certain periodic modules, with an application to the setting of the symmetric groups.

Positive logic is a generalisation of full first-order logic, where negation is not built in, but can be added as desired. In joint work with Jan Dobrowolski we succesfully generalised the recent development on Kim-independence in NSOP1 theories to the positive setting. One of the important theorems in this development is the independence theorem, whose statement is very similar to the well-known statement for simple theories, and allows us to amalgamate independent types. In this talk we will have a closer look at the proof of this theorem, and what needs to be changed to make the proof work in positive logic compared to full first-order logic.