10th October @ L3 Mathematical Institue, Oxford
08:30–09:00
Registration & Coffee Arrival
09:00–09:05
Welcome Remarks
Leandro (Oxford) and Ludo (Princeton)
09:05–09:35
Title: Real-Time Recurrent Learning (RTRL) for Recurrent Neural Networks: Convergence Analysis and Applications to Time Series Data
Justin Sirignano (Oxford)
09:40–10:00
Title: Mean-Field Generalisation Bounds for Learning Controls in Stochastic Environments
Boris Baros (Oxford)
10:05–10:35
Title: TBA
Ludovic Tangpi (Princeton)
10:40–11:10
Coffee & Pastries Break
11:15–11:35
Title: The weak formulation for McKean Vlasov control: Conditioned interaction and the Pontryagin principle
Kaiwen Zhang (Princeton)
11:40–12:10
Title: The Interplay between Utility and Risk in Portfolio Selection
Nazem Khan (Oxford)
12:15–13:45
Lunch (just outside of L3) Break
13:50–14:10
Title: Optimal Dynamic Fees in Automated Market Makers
Leonardo Baggiani (Oxford)
14:15–14:45
Title: TBA
Ronnie Sircar (Princeton)
14:50–15:10
Title: Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
Iosif Zimbidis (Princeton)
15:15–15:45
Coffee & Pastries Break
15:50–16:10
Title: Do Flickering Quotes Move Markets?
Rob Graumans (Oxford)
16:15–16:35
Title: Distributed games with jumps: An alpha-potential game approach
Xinyu Li (Oxford)
16:40–17:00
Title: Fare Game: A Mean Field Model of Stochastic Intensity Control in Dynamic Ticket Pricing
Burak Aydin (Princeton)
17:05–17:25
Title: Financial sequential decision making in misspecified and non-stationary environments
Gerardo Duran-Martin (Oxford)
17:30
Closing Remarks
Free evening (conference dinner will be tomorrow)
11th October @ Eagle House, Oxford-Man Institute for Quantitative Finance (3rd floor: AHL Lecture Theatre)
8:30–9:00
Coffee & Pastries Break
9:05–9:35
Title: Revisiting contract theory with volatility control
Emma Hubert (Princeton)
9:40–10:00
Title: Equilibrium between Takers and Makers of Liquidity
Adrien Mathieu (Oxford)
10:05–10:25
Title: Learning Markov Perfect Equilibria in Discrete Games
Felix Hoefer (Princeton)
10:30–11:00
Coffee & Pastries Break
11:05–11:25
Title: Multilevel Dyson Brownian motions via the superposition principle
Ben Budway (Princeton)
11:30–12:00
Title: Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
Ruixun Zhang (Peking)
12:05–13:45
Lunch (just outside of lecture theatre) Break
13:50–14:20
Title: TBA
Rene Carmona (Princeton)
14:25–14:45
Title: Stochastic Optimal Control and Signatures
Alif Aqsha (Oxford)
14:50–15:20
Coffee & Pastries Break
15:25–15:45
Title: Neural Actor-Critic Methods for Hamilton–Jacobi–Bellman PDEs: Asymptotic Analysis and Numerical Studies
Jackson Hebner (Oxford)
15:50–16:10
Title: Equilibrium Liquidity Provision in Concentrated Liquidity Automated Market Makers
Fayçal Drissi (Oxford)
16:15
Closing Remarks
Leandro (Oxford) and Ludo (Princeton)
16:20–17:20
Discussion Time
18:00–21:00
Conference dinner @Balliol by invitation only: please check your email to see if you have a spot for the dinner; if in doubt please talk to Leandro/Ludo Drinks reception and dinner
Balliol College: dinner drinks 18:00, and dinner from 18:30