Schedule

Friday, April 19, 2024

8:30 am9:00 am
Registration and Breakfast
Location
Atrium - Sherrerd Hall

Session I

Chair: Ronnie Sircar

9:00 am9:35 am
Terry Lyons
The Mathematics of Complex Streamed Data
9:40 am10:15 am
Ludovic Tangpi
Mean field games in discrete time
10:20 am10:35 am
Felix Hoefer
Synchronization Games
10:40 am10:55 am
Deborah Miori
Clustering Uniswap v3 traders from their activity on multiple liquidity pools, via novel graph embeddings
11:00 am11:30 am
Coffee Break

Session II

Chair: Rama Cont

11:30 am12:05 pm
Emma Hubert
A new approach to principal-agent problems with volatility control
12:10 pm12:45 pm
Alvaro Cartea
Spoofing and Manipulating Order Books with Learning Algorithms
12:45 pm2:00 pm
Lunch
Location
Atrium - Sherrerd Hall

Session III

Chair: Mete Soner

2:00 pm2:35 pm
Jan Obloj
Martingale Benamou-Brenier: arithmetic and geometric Bass martingales
2:40 pm2:55 pm
Stefan Clarke
Differentiable cutting plane layers for mixed-integer linear optimization
3:00 pm3:35 pm
Sam Howison
What You See May Not Be What You Get
3:40 pm4:00 pm
Tea Break

Session IV

Chair: Sam Cohen

4:00 pm4:15 pm
Giulia Crippa
ESG Data Imputation and Greenwashing
4:20 pm4:35 pm
Philipp Jettkant
On Two Formulations of McKean--Vlasov Control with Killing
4:40 pm5:15 pm
Leandro Sanchez-Betancourt
Automated Market Makers Designs beyond Constant Functions

Saturday, April 20, 2024

8:30 am9:00 am
Breakfast
Location
Atrium - Sherrerd Hall

Session V

Chair: René Carmona

9:00 am9:35 am
Ben Hambly
Particle systems with common noise on the positive half-line
9:40 am9:55 am
Shichun Wang
Mean Field Games with Common Noise via Malliavin Calculus
10:00 am10:15 am
Camilo Hernandez
Dynamic programming approach for continuous-time Stackelberg games
10:20 am10:35 am
Faycal Drissi
Price impact in quote driven markets and applications to AMM design
10:40 am10:55 am
Patrick Chang
The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games
11:00 am11:30 am
Coffee Break

Session VI

Chair: Anran Hu

11:30 am12:05 pm
Elizaveta Rebrova
On robust and adaptive randomized iterative algorithms
12:10 pm12:45 pm
Christoph Reisinger
Randomness and early termination: what makes a game exciting?
12:45 pm2:00 pm
Lunch
Location
Convocation Room - Friend Center

Session VII

Chair: Emma Hubert

2:00 pm2:15 pm
Nicolas Garcia
MFGs of controlled intensity in discrete and cotninuous time
2:20 pm2:35 pm
Yifan Jiang
Wasserstein distributional robustness of neural networks
2:40 pm2:55 pm
Felix Ackon
Cournot Competition in Electricity Markets with Correlated Capacitated Generators
3:00 pm3:15 pm
Milena Vuletic
VolGAN: a generative model for arbitrage-free implied volatility surfaces
3:20 pm3:40 pm
Tea Break

Session VIII

Chair: Christoph Reisinger

3:40 pm3:55 pm
Lingyi Yang
Economic nowcasting with signatures
4:00 pm4:15 pm
Kevin Zhang
A Probabilistic Approach to Discounted Infinite Horizon Mean Field Games
4:20 pm4:35 pm
Benjamin Walker
Log Neural Controlled Differential Equations: The Lie Brackets Make a Difference
4:40 pm5:15 pm
Mykhaylo Shkolnikov
Pathwise entropy solutions of SPDEs via rank-based models with common noise