We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other traders in the FX market. These losses are reduced if the broker can reject, ex-post, loss-making trades by enforcing the Last Look option which is a feature of some trading venues in FX markets. For a given rejection threshold the risk-neutral broker quotes a spread to the market so that her expected profits are zero. When there is only one venue, we find that the Last Look option reduces quoted spreads. If there are two venues we show that the market reaches an equilibrium where traders have no incentive to migrate. The equilibrium can be reached with both venues coexisting, or with only one venue surviving. Moreover, when one venue enforces Last Look and the other one does not, counterintuitively, it may be the case that the Last Look venue quotes larger spreads.


a working version of the paper may be found here

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2630662

We provide a characterization in terms of Fatou property for weakly closed monotone sets in the space of P-quasisure bounded random variables, where P is a (eventually non-dominated) class of probability measures. Our results can be applied to obtain a topological deduction of the First Fundamental Theorem of Asset Pricing for discrete time processes, the dual representation of the superhedging price and more in general the robust dual representation for (quasi)convex increasing functionals.
This is a joint paper with T. Meyer-Brandis and G. Svindland.
 

We outline some concepts and issues around decidability in valued fields of positive characteristic.

Two interesting properties of static curved space QFTs are Casimir Energies, and the Energy Gaps of fluctuations. We investigate what AdS/CFT has to say about these properties by examining holographic CFTs defined on curved but static spatially closed spacetimes. Being holographic, these CFTs have a dual gravitational description under Gauge/Gravity duality, and these properties of the CFT are reflected in the geometry of the dual bulk.  We can turn this on its head and ask, what does the existence of the gravitational bulk dual imply about these properties of the CFTs? In this talk we will consider holographic CFTs where the dual vacuum state is described by pure Einstein gravity with negative cosmological constant.  We will argue using the bulk geometry first, that if the CFT spacetime's spatial scalar curvature is positive there is a lower bound on the gap for scalar fluctuations, controlled by the minimum value of the boundary Ricci scalar. In fact, we will show that it is precisely the same bound as is satisfied by free scalar CFTs, suggesting that this bound might be something that applies more generally than just in a Holographic context. We will then show, in the case of 2+1 dimensional CFTs, that the Casimir energy is non-positive, and is in fact negative unless the CFT's scalar curvature is constant. In this case, there is no restriction on the boundary scalar curvature, and we can even allow singularities in the bulk, so long as they are 'good' singularities. If time permits, we will also describe some new results about the Hawking-Page transition in this context. 

While it is believed that many particle systems have periodic ground states, there are few rigorous crystallization results in two and more dimensions. In this talk I will show how results by the Hungarian geometer László Fejes Tóth can be used to prove that an idealised block copolymer energy is minimised by the triangular lattice. I will also discuss a numerical method for a broader class of optimal location problems and some conjectures about minimisers in three dimensions. This is joint work with Mark Peletier, Steven Roper and Florian Theil.