16:00
Regurgitative Training in Finance: Generative Models for Portfolios
Abstract
Please join us for refreshments outside the lecture room from 15:30.
Please join us for refreshments outside the lecture room from 15:30.
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game equilibrium. The major player’s cost depends on the distribution of the population, while the cost of the population depends on the random variable known by the major player. We show that the game has a relaxed solution and that the optimal control of the major player is approximatively optimal in games with a large but finite number of small players. Joint work with Pierre Cardaliaguet and Catherine Rainer.
Please join us for refreshments outside the lecture room from 15:30.
According to a conjecture by Landau-Pekar (1948) and by Spohn (1986), the effective mass of the Fröhlich Polaron should diverge in the strong coupling limit like a quartic power of the coupling constant. In a recent joint with R. Bazaes, M. Sellke and S.R.S. Varadhan, we prove this conjecture.
The "index of hypocoercivity" is defined via a coercivity-type estimate for the self-adjoint/skew-adjoint parts of the generator, and it quantifies `how degenerate' a hypocoercive evolution equation is, both for ODEs and for evolutions equations in a Hilbert space. We show that this index characterizes the polynomial decay of the propagator norm for short time and illustrate these concepts for the Lorentz kinetic equation on a torus. Discrete time analogues of the above systems (obtained via the mid-point rule) are contractive, but typically not strictly contractive. For this setting we introduce "hypocontractivity" and an "index of hypocontractivity" and discuss their close connection to the continuous time evolution equations.
This talk is based on joint work with F. Achleitner, E. Carlen, E. Nigsch, and V. Mehrmann.
References:
1) F. Achleitner, A. Arnold, E. Carlen, The Hypocoercivity Index for the short time behavior of linear time-invariant ODE systems, J. of Differential Equations (2023).
2) A. Arnold, B. Signorello, Optimal non-symmetric Fokker-Planck equation for the convergence to a given equilibrium, Kinetic and Related Models (2022).
3) F. Achleitner, A. Arnold, V. Mehrmann, E. Nigsch, Hypocoercivity in Hilbert spaces, J. of Functional Analysis (2025).
The celebrated Szemeredi-Trotter theorem states that the maximum number of incidences between $n$ points and $n$ lines in the plane is $\mathcal{O}(n^{4/3})$, which is asymptotically tight.
Solymosi conjectured that this bound drops to $o(n^{4/3})$ if we exclude subconfigurations isomorphic to any fixed point-line configuration. We describe a construction disproving this conjecture. On the other hand, we prove new upper bounds on the number of incidences for configurations that avoid certain subconfigurations. Joint work with Martin Balko.
I will first give a short review of the concepts of Asymptotically Flat Spacetimes, IR triangle and Noether's theorems. I will then present what Asymptotic Higher Spin Symmetries are and how they were introduced as a candidate for an approximate symmetry of General Relativity and the S-matrix. Next, I'll move on to the recent developments of establishing these symmetries as Noether symmetries and describing how they are canonically and non-linearly realized on the asymptotic gravitational phase space. I will discuss how the introduction of dual equations of motion encapsulates the non-perturbativity of the analysis. Finally I'll emphasize the relation to twistor, especially with 2407.04028. Based on 2409.12178 and 2410.15219
This study introduces a novel suite of historical large language models (LLMs) pre-trained specifically for accounting and finance, utilising a diverse set of major textual resources. The models are unique in that they are year-specific, spanning from 2007 to 2023, effectively eliminating look-ahead bias, a limitation present in other LLMs. Empirical analysis reveals that, in trading, these specialised models outperform much larger models, including the state-of-the-art LLaMA 1, 2, and 3, which are approximately 50 times their size. The findings are further validated through a range of robustness checks, confirming the superior performance of these LLMs.
I will present the basic idea of the flow equation approach developed by Paweł Duch to study singular stochastic partial differential equations. In particular, I will show how it can be used to prove the existence of a solution of the stochastic Burgers equation on the one-dimensional torus.