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These seminars (unless otherwise stated) will take place on Thursdays at 5pm in Room 106 in Gordon House (29 Gordon Square) on an (almost) weekly basis - see the link to the map for Gordon House for further details. Talks are being given by 2nd and 3rd year Mathematics PhD students for PhD students. They are generally followed by tea and biscuits in the Mathematics Department Staff Room (Room 606, 25 Gordon Street) - see how to find us for further details.
1st October 2015
Rafael Prieto Curiel
Title: A brief journey through Fractional Calculus
Abstract: Differentiating a function is usually regarded as a discrete operator: we use the first derivative of a function to determine the slope of a line that is tangent to it, and we differentiate it twice if we want to know its curvature. We can even "differentiate negative times" a function -integrate it- and thanks to that we measure the area under the curve. But, why stop there? Is calculus bounded to discrete operations, or is there a way to define the half-derivative of a function? Is there even an interpretation or application to half-differentiating a function? Fractional Calculus is a concept, as modern as the traditional version of Calculus, referred to by Leibniz as “a paradox from which one day useful consequences will be drawn”. In this seminar a brief introduction to Fractional Calculus will be presented, with some examples and applications
8th October 2015
Title: Algorithmic Trading of Co-Integrated Assets
Abstract: This model will be applied as a part of Algo trading strategy
for Equities team in Credit Suisse. I will brief introduce the
workflow about HOLT Machine Directed Web-tool, which includes three parts.
1. Find out the co-integrated assets in the 'universal'.
2. Determine the optimal weights for each asset, i.e. the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets.
3. Build the recommendation System based on the forecasting.
I will focus on the second part and show the closed form solution.
15th October 2015
22nd October 2015
29th October 2015
5th November 2015
Sebastian Bahamonde Beltran and Chunxin Yuan
12th November 2015
19th November 2015
26th November 2015
(Justin) Hoi Kong
3rd December 2015
10th December 2015
17th December 2015