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Upcoming Events › Special Seminar

January 2019

Khrystyna Serhiyenko, University of California at Berkeley, Cluster structures in Grassmannian and Schubert varieties

January 17 | 3:00 pm - 4:00 pm EST

Cluster algebras are commutative rings defined by a set of generators and relations and equipped with a rich combinatorial structure.   It turns out that coordinate rings of many important varieties from Lie theory are cluster algebras.   In this…

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Alpar Meszaros, UCLA, Mean Field Games and Master Equations

January 18 | 3:00 pm - 4:00 pm EST

The theory of Mean Field Games was invented roughly a decade ago simultaneously by Lasry-Lions on the one hand and Caines-Huang-Malhamé on the other hand. The aim of both groups was to study Nash equilibria of differential games with infinitely…

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Yerkin Kitapbayev, MIT Sloan, Optimal investment strategies for power generation: the value of green energy

January 28 | 3:00 pm - 4:00 pm EST

This paper examines the investment in and the valuation of power generation projects under uncertainty. The analysis incorporates the possibility of producing from alternative types of fuels, such as renewables (wind) or fossil fuels (gas), hence alternative types of plants/technologies.…

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February 2019

Sebastian Herrmann, University of Michigan, Inventory Management for High-Frequency Trading with Imperfect Competition

February 1 | 4:00 pm - 5:00 pm EST

We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations;…

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