Anabelian geometry asks how much we can say about a variety from its fundamental group. In 1997 Shinichi Mochizuki, using p-adic hodge theory, proved a fundamental anabelian result for the case of p-adic fields. In my talk I will discuss representation theoretical data which can be reconstructed from an absolute Galois group of a field, and also types of representations that cannot be constructed solely from a Galois group. I will also sketch how these types of ideas can potentially give many new results about p-adic Galois representations.

Abstract: In this work, we analyze a class of stochastic inverse optimal control problems with entropy regularization. We first characterize the set of solutions for the inverse control problem. This solution set exemplifies the issue of degeneracy in generic inverse control problems that there exist multiple reward or cost functions that can explain the displayed optimal behavior. Then we establish one resolution for the degeneracy issue by providing one additional optimal policy under a different discount factor. This resolution does not depend on any prior knowledge of the solution set. Through a simple numerical experiment with deterministic transition kernel, we demonstrate the ability of accurately extracting the cost function through our proposed resolution.

Joint work with Sam Cohen (Oxford) and Lukasz Szpruch (Edinburgh).

Orders in major electronic stock markets are executed through centralised limit order books (LOBs). Large amounts of historical data have led to extensive research modeling LOBs, for the purpose of better understanding their dynamics and building simulators as a framework for controlled experiments, when testing trading algorithms or execution strategies.Most work in the literature models the aggregate view of the limit order book, which focuses on the volume of orders at a given price level, using a point process. In addition to this information, brokers and exchanges also have information on the identity of the agents submitting the order. This leads to a more granular view of limit order book dynamics, which we attempt to model using a heterogeneous model of order flow.

We present a granular representation of the limit order book that allows to account for the origins of different orders. Using client order flow from a major broker, we analyze the properties of variables in this representation. The heterogeneity of order flow is modeled by segmenting clients into different clusters, for which we identify representative prototypes. This segmentation appears to be stable both over time as well as over different stocks. Our findings can be leveraged to build more realistic order flow models that account for the diversity of the market participants.

Model-free machine learning is a tabula rasa method, estimating parametric functions purely from the data. In contrast, model-driven machine learning augments mathematical models with machine learning. For example, unknown terms in SDEs and PDEs can be represented by neural networks. We compare these two approaches, discuss their mathematical theory, and present several examples. In model-free machine learning, we use reinforcement learning to train order-execution models on limit order book data. Event-by-event simulation, based on the historical order book dataset, is used to train and evaluate limit order strategies. In model-driven machine learning, we develop SDEs and PDEs with neural network terms for options pricing as well as, in an application outside of finance, predictive modeling in physics. We are able to prove global convergence of the optimization algorithm for a class of linear elliptic PDEs with neural network terms.


 

Abstract: We consider the problem of testing statistical hypotheses and building confidence sequences for elicitable and identifiable functionals, a broad class of statistics which are of particular interest in the field of quantitative risk management. Assuming a sequential testing framework in which data is collected in sequence, where a user may choose to accept or reject a hypothesis at any point in time, we provide powerful distribution-free and anytime-valid testing methods which rely on controlled test supermartingales. Leveraging tools from online convex optimization, we show that tests can be optimized to improve their statistical power, with asymptotic guarantees for rejecting false hypotheses. By "inverting the test", these methods are extended to the task of confidence sequence building. Lastly, we implement these techniques on a range of simple examples to demonstrate their effectiveness.

I will discuss the following papers in my talk:
(1) Protecting consumers from collusive prices due to AI, 2020 with E. Calvano, V. Denicolò, J. Harrington, S.  Pastorello.  Nov 27, 2020, SCIENCE, cover featured article.
(2) Artificial intelligence, algorithmic pricing and collusion, 2020 with E. Calvano, V. Denicolò, S. Pastorello. AMERICAN ECONOMIC REVIEW,  Oct. 2020.
(3) Algorithmic Collusion with Imperfect Monitoring, 2021, with E. Calvano, V. Denicolò, S.  Pastorello

Residual networks (ResNets) have displayed impressive results in pattern recognition and, recently, have garnered considerable theoretical interest due to a perceived link with neural ordinary differential equations (neural ODEs). This link relies on the convergence of network weights to a smooth function as the number of layers increases. We investigate the properties of weights trained by stochastic gradient descent and their scaling with network depth through detailed numerical experiments. We observe the existence of scaling regimes markedly different from those assumed in neural ODE literature. Depending on certain features of the network architecture, such as the smoothness of the activation function, one may obtain an alternative ODE limit, a stochastic differential equation or neither of these. These findings cast doubts on the validity of the neural ODE model as an adequate asymptotic description of deep ResNets and point to an alternative class of differential equations as a better description of the deep network limit.
 

Abstract: We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact on the risky asset's execution price along with taking into account a common general price predicting signal. In contrast to an interaction of the agents through purely permanent price impact as it is typically considered in the literature on multi-player price impact games, accrued transient price impact does not persist but decays over time. The unique Nash-equilibrium strategies reveal how each agent's liquidation policy adjusts the predictive trading signal for the accumulated transient price distortion induced by all other agents' price impact; and thus unfolds a direct and natural link in equilibrium between the trading signal and the agents' trading activity. We also formulate and solve the corresponding mean field game in the limit of infinitely many agents and show how the latter provides an approximate Nash-equilibrium for the finite-player game. Specifically we prove the convergence of the N-players game optimal strategy to the optimal strategy of the mean field game.     (Joint work with Moritz Voss)