L3

Globally, almost 38 million people are living with HIV.  HPTN 071 (PopART) is the largest HIV prevention trial to date, taking place in 21 communities in Zambia and South Africa with a combined population of more than 1 million people.  As part of the trial an individual-based mathematical model was developed to help in planning the trial, to help interpret the results of the trial, and to make projections both into the future and to areas where the trial did not take place. In this talk I will outline the individual-based mathematical model used in the trial, the inference framework, and will discuss examples of how the results from the model have been used to help inform policy decisions.  

This challenge relates to problems (of a mathematical nature) in generating optimal solutions for natural flood management.  Natural flood management involves large numbers of small scale interventions in a much larger context through exploiting natural features in place of, for example, large civil engineering construction works. There is an optimisation problem related to the catchment hydrology and present methods use several unsatisfactory simplifications and assumptions that we would like to improve on.

We consider the coordinate-iterated-integral as an algebraic product on the shuffle algebra, called the (right) half-shuffle product. Its anti-symmetrization defines the biproduct  area(.,.), interpretable as the signed-area between two real-valued coordinate paths. We consider specific sets of binary, rooted trees known as Hall sets. These set have a complex combinatorial structure, which can be almost entirely circumvented by introducing the equivalent notion of Lazard sets. Using analytic results from dynamical systems and algebraic results from the theory of Lie algebras, we show that shuffle-polynomials in areas-of-areas on Hall trees generate the shuffle algebra.

I will elaborate on some recent developments on the theory of special functions which are relevant to the calculation of Feynman integrals in perturbative quantum field theory, highlighting the connections with some recent ideas in pure mathematics.

The sequence of so-called Signature moments describes the laws of many stochastic processes in analogy with how the sequence of moments describes the laws of vector-valued random variables. However, even for vector-valued random variables, the sequence of cumulants is much better suited for many tasks than the sequence of moments. This motivates the study of so-called Signature cumulants. To do so, an elementary combinatorial approach is developed and used to show that in the same way that cumulants relate to the lattice of partitions, Signature cumulants relate to the lattice of so-called "ordered partitions". This is used to give a new characterisation of independence of multivariate stochastic processes.

We show the existence of an infinite family of complex saddle-points at large N, for the matrix model of the superconformal index of SU(N) N = 4 super Yang-Mills theory on S3 × S1 with one chemical potential τ. The saddle-point configurations are labelled by points (m,n) on the lattice Λτ = Z τ + Z with gcd(m, n) = 1. The eigenvalues at a given saddle are uniformly distributed along a string winding (m, n) times along the (A, B) cycles of the torus C/Λτ . The action of the matrix model extended to the torus is closely related to the Bloch-Wigner elliptic dilogarithm, and its values at (m,n) saddles are determined by Fourier averages of the latter along directions of the torus. The actions of (0,1) and (1,0) agree with that of pure AdS5 and the Gutowski-Reall AdS5 black hole, respectively. The actions of the other saddles take a surprisingly simple form. Generically, they carry non vanishing entropy. The Gutowski-Reall black hole saddle dominates the canonical ensemble when τ is close to the origin, and other saddles dominate when τ approaches rational points. 

We will present three problems that we are interested in:

Forecast of volatility both at the instrument and portfolio level by combining a model based approach with data driven research
We will deal with additional complications that arise in case of instruments that are highly correlated and/or with low volumes and open interest.
Test if volatility forecast improves metrics or can be used to derive alpha in our trading book.

Price predication using physical oil grades data
Hypothesis:
Physical markets are most reflective of true fundamentals. Derivative markets can deviate from fundamentals (and hence physical markets) over short term time horizons but eventually converge back. These dislocations would represent potential trading opportunities.
The problem:
Can we use the rich data from the physical market prices to predict price changes in the derivative markets?
Solution would explore lead/lag relationships amongst a dataset of highly correlated features. Also explore feature interdependencies and non-linearities.
The prediction could be in the form of a price target for the derivative (‘fair value’), a simple direction without magnitude, or a probabilistic range of outcomes.

Modelling oil balances by satellite data
The flow of oil around the world from being extracted, refined, transported and consumed, forms a very large dynamic network. At both regular and irregular intervals, we can make noisy measurements of the amount of oil at certain points in the network.
In addition, we have general macro-economic information about the supply and demand of oil in certain regions.
Based on that information, with general information about the connections between nodes in the network i.e. the typical rate of transfer, one can build a general model for how oil flows through the network.
We would like to build a probabilistic model on the network, representing our belief about the amount of oil stored at each of our nodes, which we refer to as balances.
We want to focus on particular parts of the network where our beliefs can be augmented by satellite data, which can be done by focusing on a sub network containing nodes that satellite measurements can be applied to.

A fine compactified Jacobian is a proper open substack of the moduli space of simple sheaves. We will see that fine compactified Jacobians correspond to a certain combinatorial datum, essentially obtained by taking multidegrees of all elements of the compactified Jacobian. This picture generalizes to flat families of curves. We will discuss a classification result in the case when the family is the universal family over the moduli space of curves. This is a joint work with Jesse Kass.

Let A be a Tannakian category. Any exact tensor functor defined on A is either zero, or faithful. In this talk, I want to draw attention to a derived analogue of this statement (in characteristic zero) due to Jack Hall and David Rydh, and discuss some remarkable consequences for certain classification problems in algebraic geometry.