The JAMS is a weekly seminar with talks given by junior researchers on a topic in all areas in Mathematics. It is a great opportunity to share research, get feedback from other students and to become more confident in presenting work. We also provide drinks and snacks!
This year, there are two different types of talks:
Classic JAMS: Short talks, somewhat specialised and more focused on new results. A great opportunity to get know what fellow PhD students’ research is about.
Introductory JAMS: Longer talks, but more accessible and educational. These are meant to introduce you to the basic ideas of active research fields, and give you a broader picture of modern Applied Mathematics.
If you are interested in giving a talk (of either type) or have further questions, please email us at email@example.com. You can also sign up to our Mailing List to receive regular updates on these events!
Venue: Huxley 130
Time: Wednesday 4pm-5pm
(22/11/17) Optimal market making across different asset classes
Douglas Machado VieiraAbstract
In financial markets, a market maker is a market participant that continuously provide both buy and sell quotes for a single or multiple assets. This agent is crucial for maintaining the liquidity of the markets in which they participate. The profit of the market maker comes from the spread between these quotes. Tight spread implies more attractive prices and, hence, a flow of trades, at the cost of less profit per round-trip transaction. On the other hand, given that supply and demand change over time, the market maker has to dynamically control their quotes, otherwise they risk accumulating excessively high positive or negative positions in the traded asset, exposing them to market risk. In this talk, I will introduce the problem of optimal quotes for a market making strategy using optimal stochastic control theory. Then, I will expose the latest advancements in the literature and what challenges are involved when extending the models towards different asset classes.
(03/10/17) Kidneys and Map Colouring: an exploration of graph theory
(03/10/17) An Introduction to Spatial Network
Networks are everywhere! A network can be used to describe anything which consists of a series of a discrete objects (nodes) and connections or links between them (edges). Examples include: social networks, the internet, transport networks such as the London underground, ecosystems and numerous other examples. Many of these networks are embedded in space, meaning that nodes which share similar locations are more likely to be connected. I will discuss how we can model these networks and touch on some of the recent research I have been doing on the statistical properties of these networks.
(11/10/17) Python for data processing and scientific computing
José Luis Ricón [Slides] [Zip File]
In this talk, I will introduce the Python ecosystem for mathematics, science, and engineering, highlighting packages such as pandas or matplotlib. No prior knowledge of Python is assumed – but experienced programmers will learn new tricks as well!
(18/10/17) Limit order book modelling with hybrid marked point processes (Joint work with Mikko S. Pakkanen)
First, I will present the original motivation of my research, which is limit order book modelling. Most of trading now happens on electronic markets through a limit order book mechanism. In short, the limit order book is the collection of outstanding buy and sell orders for a given stock. Economically, it conveys information on the current supply of and demand for the security. I will show an animation of a limit order book that is based on real data. Second, inspired by the limit order book modelling problem, I will introduce a new class of marked point processes, that we name hybrid. A hybrid marked point point process models the arrival in time of random events and the time evolution of the state of a system. I will discuss a key example that we call state-dependent Hawkes processes and explain how it compares to the existing literature, and, in particular, to classical Hawkes processes and continuous-time Markov chains. Third, hybrid marked point processes are defined in a self-referential manner and, thus, it is not clear a priori that they exist, i.e., that they are well-defined mathematical objects. We address this existence problem by studying a well-known Poisson-driven stochastic differential equation. The existing strong existence and uniqueness results rely on a Lipschitz condition that hybrid marked point processes may fail to satisfy. This motivates us to propose a natural pathwise construction that instead requires only a sublinearity condition. Using a domination argument, we are able to verify that this construction yields indeed a solution. As we restrict ourselves to non-explosive marked point processes, we also manage to prove uniqueness without any specific assumptions.
(25/10/17) Markovian Approximation for the Generalized Langevin Equation
(25/10/17) Link of Singularities
In this expository talk I will provide some motivational examples without particular algebro-geometric prerequisites.
You can find a funny 3-minute introduction to the subject at https://www.youtube.com/watch?v=TpB9pa3j0l0.
(01/11/17) Wet Thermodynamics Of The Atmosphere — A “Condensed” Summary
(01/11/17)Building your own finite element solver in Firedrake
(08/11/17) Field Theories for Stochastic Processes with Applications to Biology
(15/11/17) Eddy-Induced Oceanic Lagrangian Transport
Eddies (small scale structures) are essential in the distribution and transport of oceanic tracers, i.e heat, salt or biochemical tracers. The gulf stream is a perfect example of this as it transports warm salty waters across the North Atlantic, while further acting as a partial barrier to transport across its core. General ocean circulation models (GCMs) lack the necessary resolution to resolve these small scale effects and so therefore they must be approximated. I will be discussing the importance of Eddy Induced Transport in the Oceans, failings of the current approach used to approximate it, and possible alternative approaches.
(15/11/17)Â Parameterisations of turbulent eddies in oceanic general circulation models
Many large-scale oceanic phenomena, e.g. the Gulf Stream, are driven by turbulent eddies which themselves exist on lengthscales on the order of 100km (mesoscale). The fact that such small-scale turbulent structures drive the large-scale ocean circulation gives rise to one of the greatest problems in geophysical fluid dynamics. The equations governing geophysical fluid flow are too complex to solve analytically, and we must therefore employ numerical models which solve the governing equations on a discrete grid. However, in order to numerically resolve the important turbulent flows, we typically require grid-scales on the order of 1km. Doing this is often computationally unfeasible, and we must therefore solve the governing equations on a coarse grid which is unable to capture the effects of small-scale flows. The solution is to define a parameterisation to be included in a coarse-grid model, which accounts for the effects of the turbulent eddies on the large-scale flow. I will describe the numerous methods that have been invoked to define eddy parameterisations, and outline my own research in this area