L3

We introduce a methodology based on Multireference Alignment (MRA) for lead-lag detection in multivariate time series, and demonstrate its applicability in developing trading strategies. Specifically designed for low signal-to-noise ratio (SNR) scenarios, our approach estimates denoised latent signals from a set of time series. We also investigate the impact of clustering the time series on the recovery of latent signals. We demonstrate that our lead-lag detection module outperforms commonly employed cross-correlation-based methods. Furthermore, we devise a cross-sectional trading strategy that capitalizes on the lead-lag relationships uncovered by our approach and attains significant economic benefits. Promising backtesting results on daily equity returns illustrate the potential of our method in quantitative finance and suggest avenues for future research.

Global scale ocean currents are strongly constrained by the Earth’s rotation, while this effect is generally negligible at small scales. In between, motions with scales from 1-10km are marginally affected by the Earth’s rotation. These intermediate scales, collectively termed the ocean submesoscale, have been hidden from view until recent years. Evidence from field measurements, numerical models, and satellite data have shown that submesoscales play a particularly important role in the upper ocean where they help to control the transport of material between the ocean surface and interior. In this talk I will review some recent work on submesoscale dynamics and their influence on biogeochemistry and accumulation of microplastics in the surface waters.

We study “bottom-up” models for the collective motion of large groups of animals. Similar models can be encoded into (micro)robotic matter, capable of sensing light and processing information. Agents are endowed only with visual sensing and information processing. We study a model in which moving agents reorientate to maximise the path-entropy of their visual environment over paths into the future. There are general arguments that principles like this that are based on retaining freedom in the future may confer fitness in an uncertain world. Alternative “top-down” models are more common in the literature. These typically encode coalignment and/or cohesion directly and are often motivated by models drawn from physics, e.g. describing spin systems. However, such models can usually give little insight into how co-alignment and cohesion emerge because these properties are encoded in the model at the outset, in a top-down manner. We discuss how our model leads to dynamics with striking similarities with animal systems, including the emergence of coalignment, cohesion, a characteristic density scaling anddifferent behavioural phenotypes. The dynamics also supports a very unusual order-disorder transition in which the order (coalignment) initially increases upon the addition of sensory or behavioural noise, before decreasing as the noise becomes larger.

During the last fifteen years, there has been a paradigm shift in the continuum modelling of granular materials; most notably with the development of rheological models, such as the μ(I)-rheology (where μ is the friction and I is the inertial number), but also with significant advances in theories for particle segregation. This talk details theoretical and numerical frameworks (based on OpenFOAM®) which unify these disconnected endeavours. Coupling the segregation with the flow, and vice versa, is not only vital for a complete theory of granular materials, but is also beneficial for developing numerical methods to handle evolving free surfaces. This general approach is based on the partially regularized incompressible μ(I)-rheology, which is coupled to a theory for gravity/shear-driven segregation (Gray & Ancey, J. Fluid Mech., vol. 678, 2011, pp. 353–588). These advection–diffusion–segregation equations describe the evolving concentrations of the constituents, which then couple back to the variable viscosity in the incompressible Navier–Stokes equations. A novel feature of this approach is that any number of differently sized phases may be included, which may have disparate frictional properties. The model is used to simulate the complex particle-size segregation patterns that form in a partially filled triangular rotating drum. There are many other applications of the theory to industrial granular flows, which are the second most common material used after fluids. The same processes also occur in geophysical flows, such as snow avalanches, debris flows and dense pyroclastic flows. Depth-averaged models, that go beyond the μ(I)-rheology, will also be derived to capture spontaneous self-channelization and levee formation, as well as complex segregation-induced flow fingering effects, which enhance the run-out distance of these hazardous flows.

We present a new formulation of string and particle amplitudes that emerges from simple one-dimensional models. The key is a new way to parametrize the positive part of Teichmüller space. It also builds on the results of Mirzakhani for computing Weil-Petterson volumes. The formulation works at all orders in the perturbation series, including non-planar contributions. The relationship between strings and particles is made manifest as a "tropical limit". The results are well adapted to studying the scattering of large numbers of particles or amplitudes at high loop order. The talk will in part cover results from arXiv:2309.15913, 2311.09284.

Bone regeneration processes are complex multiscale intrinsic mechanisms in bone tissue whose primary outcome is restoring function and form to a bone insufficiency. The effect of mechanics on the newly formed bone (the woven bone), is fundamental, at the tissue, cellular or even molecular scale. However, at these multiple scales, the identification of the mechanical parameters and their mechanisms of action are still unknown and continue to be investigated. This concept of mechanical regulation of biological processes is the main premise of mechanobiology and is used in this seminar to understand the multiscale response of the woven bone to mechanical factors in different bone regeneration processes: bone transport, bone lengthening and tissue engineering. The importance of a multidisciplinary approach that includes both in vivo and in silico modeling will be remarked during the seminar.

I shall say some stuff about quasilinear reaction-diffusion equations, motivated by tissue growth in particular.

For many systems (certainly those in biology, medicine and pharmacology) the mathematical models that are generated invariably include state variables that cannot be directly measured and associated model parameters, many of which may be unknown, and which also cannot be measured.  For such systems there is also often limited access for inputs or perturbations. These limitations can cause immense problems when investigating the existence of hidden pathways or attempting to estimate unknown parameters and this can severely hinder model validation. It is therefore highly desirable to have a formal approach to determine what additional inputs and/or measurements are necessary in order to reduce or remove these limitations and permit the derivation of models that can be used for practical purposes with greater confidence.

Structural identifiability arises in the inverse problem of inferring from the known, or assumed, properties of a biomedical or biological system a suitable model structure and estimates for the corresponding rate constants and other model parameters.  Structural identifiability analysis considers the uniqueness of the unknown model parameters from the input-output structure corresponding to proposed experiments to collect data for parameter estimation (under an assumption of the availability of continuous, noise-free observations).  This is an important, but often overlooked, theoretical prerequisite to experiment design, system identification and parameter estimation, since estimates for unidentifiable parameters are effectively meaningless.  If parameter estimates are to be used to inform about intervention or inhibition strategies, or other critical decisions, then it is essential that the parameters be uniquely identifiable. 

Numerous techniques for performing a structural identifiability analysis on linear parametric models exist and this is a well-understood topic.  In comparison, there are relatively few techniques available for nonlinear systems (the Taylor series approach, similarity transformation-based approaches, differential algebra techniques and the more recent observable normal form approach and symmetries approaches) and significant (symbolic) computational problems can arise, even for relatively simple models in applying these techniques.

In this talk an introduction to structural identifiability analysis will be provided demonstrating the application of the techniques available to both linear and nonlinear parameterised systems and to models of (nonlinear mixed effects) population nature.