Mathematical Institute University of Oxford

We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact function is a continuous function of the trading speed. Following an approximation of the optimisation problem, we are able to calculate an optimal solution for the trading speed in the space of linear functions on a truncation of the signature of the price process. We provide strong numerical evidence illustrating the accuracy and flexibility of the approach. Our numerical investigation both examines cases where exact solutions are known, demonstrating that the method accurately approximates these solutions, and models where exact solutions are not known. In the latter case, we obtain favourable comparisons with standard execution strategies.

Tensors are higher dimensional analogues of matrices, used to record data with multiple changing variables. Interpreting tensor data requires finding multi-linear stucture that depends on the application or context. I will describe a tensor-based clustering method for multi-dimensional data. The multi-linear structure is encoded as algebraic constraints in a linear program. I apply the method to a collection of experiments measuring the response of genetically diverse breast cancer cell lines to an array of ligands. In the second part of the talk, I will discuss low-rank decompositions of tensors that arise in statistics, focusing on two graphical models with hidden variables. I describe how the implicit semi-algebraic description of the statistical models can be used to obtain a closed form expression for the maximum likelihood estimate.

Cellular migration can be affected by short-range interactions between cells such as volume exclusion, long-range forces such as chemotaxis, or reactions such as phenotypic switching. In this talk I will discuss how to incorporate these processes into a discrete or continuum modelling frameworks. In particular, we consider a system with two types of diffusing hard spheres that can react (switch type) upon colliding. We use the method of matched asymptotic expansions to obtain a systematic model reduction, consisting of a nonlinear reaction-diffusion system of equations. Finally, we demonstrate how this approach can be used to study the effects of excluded volume on cellular chemotaxis. This is joint work with Dan Wilson and Helen Byrne.