Mathematical Institute (University of Oxford)

We model the trading strategy of an investor who spoofs the limit order book (LOB) to increase the revenue obtained from selling a position in a security. The strategy employs, in addition to sell limit orders (LOs) and sell market orders (MOs), a large number of spoof buy LOs to manipulate the volume imbalance of the LOB. Spoofing is illegal, so the strategy trades off the gains that originate from spoofing against the expected financial losses due to a fine imposed by the financial authorities. As the expected value of the fine increases, the investor relies less on spoofing, and if the expected fine is large enough, it is optimal for the investor not too spoof the LOB because the fine outweighs the benefits from spoofing. The arrival rate of buy MOs increases because other traders believe that the spoofed buy-heavy LOB shows the true supply of liquidity and interpret this imbalance as an upward pressure in prices. When the fine is low, our results show that spoofing considerably increases the revenues from liquidating a position. The profit of the spoof strategy is higher than that of a no-spoof strategy for two reasons. First, the investor employs fewer MOs to draw the inventory to zero and benefits from roundtrip trades, which stem from spoof buy LOs that are ‘inadvertently’ filled and subsequently unwound with sell LOs. Second, the midprice trends upward when the book is buy-heavy, therefore, as time evolves, the spoofer sells the asset at better prices (on average).

Heterogeneity in Space and Time: Novel Dispersion Relations in Morphogenesis

Dr. Andrew Krause

Motivated by recent work with biologists, I will showcase some results on Turing instabilities in complex domains. This is scientifically related to understanding developmental tuning in the whiskers of mice, and in synthetic quorum-sensing patterning of bacteria. Such phenomena are typically modelled using reaction-diffusion systems of morphogens, and one is often interested in emergent spatial and spatiotemporal patterns resulting from instabilities of a homogeneous equilibrium. In comparison to the well-known effects of how advection or manifold structure impacts the modes which may become unstable in such systems, I will present results on instabilities in heterogeneous systems, reaction-diffusion systems on evolving manifolds, as well as layered reaction-diffusion systems. These contexts require novel formulations of classical dispersion relations, and may have applications beyond developmental biology, such as in understanding niche formation for populations of animals in heterogeneous environments. These approaches also help close the vast gap between the simplistic theory of instability-driven pattern formation, and the messy reality of biological development, though there is still much work to be done in concretely demonstrating such a theory's applicability in real biological systems.
 

Cavity flow characteristics and applications to kidney stone removal

Dr. Jessica Williams

Ureteroscopy is a minimally invasive surgical procedure for the removal of kidney stones. A ureteroscope, containing a hollow, cylindrical working channel, is inserted into the patient's kidney. The renal space proximal to the scope tip is irrigated, to clear stone particles and debris, with a saline solution that flows in through the working channel. We consider the fluid dynamics of irrigation fluid within the renal pelvis, resulting from the emerging jet through the working channel and return flow through an access sheath . Representing the renal pelvis as a two-dimensional rectangular cavity, we investigate the effects of flow rate and cavity size on flow structure and subsequent clearance time of debris. Fluid flow is modelled with the steady incompressible Navier-Stokes equations, with an imposed Poiseuille profile at the inlet boundary to model the jet of saline, and zero-stress conditions on the outlets. The resulting flow patterns in the cavity contain multiple vortical structures. We demonstrate the existence of multiple solutions dependent on the Reynolds number of the flow and the aspect ratio of the cavity using complementary numerical simulations and PIV experiments. The clearance of an initial debris cloud is simulated via solutions to an advection-diffusion equation and we characterise the effects of the initial position of the debris cloud within the vortical flow and the Péclet number on clearance time. With only weak diffusion, debris that initiates within closed streamlines can become trapped. We discuss a flow manipulation strategy to extract debris from vortices and decrease washout time.

 

In this talk I will analyse ERK time course data by developing mathematical models of enzyme kinetics. I will present how we can use differential algebra and geometry for model identifiability, and topological data analysis to study these the dynamics of ERK. This work is joint with Lewis Marsh, Emilie Dufresne, Helen Byrne and Stanislav Shvartsman.

Tensors are higher dimensional analogues of matrices; they are used to record data with multiple changing variables. Interpreting tensor data requires finding low rank structure, and the structure depends on the application or context. Often tensors of interest define semi-algebraic sets, given by polynomial equations and inequalities. I'll give a characterization of the set of tensors of real rank two, and answer questions about statistical models using probability tensors and semi-algebraic statistics. I will also describe work on learning a path from its three-dimensional signature tensor. This talk is based on joint work with Guido Montúfar, Max Pfeffer, and Bernd Sturmfels.

In this talk, I am going to give an introduction to operator preconditioning as a general and robust strategy to precondition linear systems arising from Galerkin discretization of PDEs or Boundary Integral Equations. Then, in order to illustrate the applicability of this preconditioning technique, I will discuss the simple case of weakly singular and hypersingular integral equations, arising from exterior Dirichlet and Neumann BVPs for the Laplacian in 3D. Finally, I will show how we can also tackle operators with a more difficult structure, like the electric field integral equation (EFIE) on screens, which models the scattering of time-harmonic electromagnetic waves at perfectly conducting bounded infinitely thin objects, like patch antennas in 3D.