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Seminar information archive
Seminar information archive ～05/22｜Today's seminar 05/23 | Future seminars 05/24～
2018/02/02
Seminar on Probability and Statistics
13:30-14:40 Room #052 (Graduate School of Math. Sci. Bldg.)
Ioane Muni Toke (Centrale Supelec Paris)
Estimation of ratios of intensities in a Cox-type model of limit order books
Ioane Muni Toke (Centrale Supelec Paris)
Estimation of ratios of intensities in a Cox-type model of limit order books
[ Abstract ]
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The Cox-like intensities of the counting processes of events are assumed to share an unobserved and unspecified baseline intensity, which in finance can be identified to a global market activity affecting all events. The model is formulated in terms of relative responses of the intensities to covariates, and relative parameters can be estimated by quasi likelihood maximization. Consistency and asymptotic normality of the estimators are proven. Computationally intensive inferences are run on large samples of tick-by-tick data (35+ stocks and 220+ trading days, adding to more than one billion events). Penalization methods are also investigated. Results of the model are interpreted in terms of probability of occurrence of events. Excellent agreement with empirical data is found. Estimated model reproduces known empirical facts on imbalance, spread and queue sizes, and helps identifying trading signals of interests on a given stock.
Joint work with N.Yoshida.
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The Cox-like intensities of the counting processes of events are assumed to share an unobserved and unspecified baseline intensity, which in finance can be identified to a global market activity affecting all events. The model is formulated in terms of relative responses of the intensities to covariates, and relative parameters can be estimated by quasi likelihood maximization. Consistency and asymptotic normality of the estimators are proven. Computationally intensive inferences are run on large samples of tick-by-tick data (35+ stocks and 220+ trading days, adding to more than one billion events). Penalization methods are also investigated. Results of the model are interpreted in terms of probability of occurrence of events. Excellent agreement with empirical data is found. Estimated model reproduces known empirical facts on imbalance, spread and queue sizes, and helps identifying trading signals of interests on a given stock.
Joint work with N.Yoshida.
thesis presentations
9:15-10:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
9:15-10:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #122 (Graduate School of Math. Sci. Bldg.)
2018/02/01
thesis presentations
9:15-10:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-17:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-17:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-17:00 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
17:15-18:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
17:15-18:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
17:15-18:30 Room #126 (Graduate School of Math. Sci. Bldg.)
2018/01/30
Tuesday Seminar on Topology
17:00-18:00 Room #056 (Graduate School of Math. Sci. Bldg.)
Yuichi Ike (The University of Tokyo)
Persistence-like distance on Tamarkin's category and symplectic displacement energy (JAPANESE)
Yuichi Ike (The University of Tokyo)
Persistence-like distance on Tamarkin's category and symplectic displacement energy (JAPANESE)
[ Abstract ]
The microlocal sheaf theory due to Kashiwara and Schapira can be regarded as Morse theory with sheaf coefficients. Recently it has been applied to symplectic geometry, after the pioneering work of Tamarkin. In this talk, I will propose a new sheaf-theoretic method to estimate the displacement energy of compact subsets in cotangent bundles. In the course of the proof, we introduce a persistence-like pseudo-distance on Tamarkin's sheaf category. This is a joint work with Tomohiro Asano.
The microlocal sheaf theory due to Kashiwara and Schapira can be regarded as Morse theory with sheaf coefficients. Recently it has been applied to symplectic geometry, after the pioneering work of Tamarkin. In this talk, I will propose a new sheaf-theoretic method to estimate the displacement energy of compact subsets in cotangent bundles. In the course of the proof, we introduce a persistence-like pseudo-distance on Tamarkin's sheaf category. This is a joint work with Tomohiro Asano.
2018/01/29
Operator Algebra Seminars
16:45-18:15 Room #126 (Graduate School of Math. Sci. Bldg.)
Michiya Mori (Univ. Tokyo)
Tingley's problem for operator algebras
Michiya Mori (Univ. Tokyo)
Tingley's problem for operator algebras
Tokyo Probability Seminar
16:00-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
Kazuhiro Kuwae (Department of Applied Mathematics, Faculty of Science, Fukuoka University)
(JAPANESE)
Kazuhiro Kuwae (Department of Applied Mathematics, Faculty of Science, Fukuoka University)
(JAPANESE)
2018/01/26
Colloquium
15:30-16:30 Room #002 (Graduate School of Math. Sci. Bldg.)
Yuta Koike (Univ. Tokyo)
(JAPANESE)
Yuta Koike (Univ. Tokyo)
(JAPANESE)
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