Mean Field Games Model for Cryptocurrency Mining

Speaker: Max Reppen, from Boston University Time: 04/08/21 ,2-2:50pm Zoom: 992 7853 8762 Abstract: We propose a mean field game model to study the question of how centralization of reward and computational power occur in the Bitcoin-like cryptocurrencies. Miners compete against each other for mining rewards by increasing their computational power. This leads to a novel mean field […]

Coalescence estimates for the corner growth model with exponential weights.

Speaker: Xiao Shen (University of Wisconsin Madison) Time: 03/04/2021, 2:00pm -2:50pm Zoom ID: 992 7853 8762 Abstract: We establish estimates for the coalescence time of semi-infinite directed geodesics in the planar corner growth model with i.i.d. exponential weights. There are four estimates: upper and lower bounds on the probabilities of both fast and slow coalescence on the correct spatial scale with exponent 3/2. […]

Optimal investment problem under behavioral setting: A Lagrange duality perspective

Speaker: Zhenyu Cui from Stevens Institute of Technology Time: 02/18/2021, 2:00pm -2:50pm Zoom ID: 992 7853 8762 Abstract:We consider the optimal investment problem with both probability distortion/weighting (e.g. inverse S-shaped probability weighting) and general non-concave utility functions (e.g. S-shape utility). The regular method to solve this type of problems is to apply the concavification technique and then […]

Itô’s formula for flow of measures on semimartingales

Speaker: Xiaoli Wei from UC Berkeley Time: 11/05/2020, 2:00pm -2:50pm Zoom: 992 7853 8762 Abstract: We state Itô’s formula along a flow of probability measures associated with general semimartingales. This extends recent existing results for flow of measures on Itô processes. Our approach is to first prove Itô’s formula for cylindrical polynomials and then use function […]

 A General Method for Valuation of Drawdown Risk under Markov Models

Speaker: Lingfei Li from Chinese University of Hong Kong Time: 10/8/2020, 9am-9:50am Abstract: We develop a novel algorithm for the analysis of drawdown in general one-dimensional Markovian models. We compute the Laplace transform of the first passage time of the drawdown process based on continuous time Markov chain (CTMC) approximation and numerically invert the Laplace […]

Margin Constraints, Default Aversion, and Optimal Hedging in Bitcoin Futures Markets

Speaker: Bin Zou from University of Connecticut Time: 10/22/2020, 2:00 – 2:50pm Zoom: 992 7853 8762 Abstract:  We incorporate margin constraint and default aversion into the study of Bitcoin futures. The margin constraint limits an investor’s ability to satisfy the margin requirement in futures trading, while losses exceeding the margin constraint leads to a default event. The […]

CIMS hosts Veronica Meija Bustamante visit.

Dr. Veronica Meija Bustamante, VP at JP Morgan-Chase, gave a presentation to the CIMS REU in Industrial Mathematics and Statistcs on “Applications of Data Science in Finance” on July 12, 2019. The talk was open to all of the NSF-funded REU students on campus as well as WPI undergraduate student researchers.

CIMS Hosts Panel for Industrial Careers in Mathematics – 2019

  On June 12, 2019, CIMS hosted a panel for industrial careers in mathematics, as part of the NSF-funded Research Experiences for Undergraduates in Industrial Mathematics and Statistics.  The panel consisted of Laura Antul (MITRE; Systems Engineer) Alana Aubin (Everquote; VP for Strategic Projects) Kaitlyn Brady (BJ Wholesales Club; Senior Data Scientist) Divya Moorjaney (LogMeIn; […]

SIAM Speaker Series: Veronica Mejia Bustamante (VP at JPMorgan), March 22nd, 1:00 PM SH 306

Veronica Mejia Bustamante, Vice President JP Morgan “Applications of data science in finance”  March 22nd, 1:00 PM SH 306

State Street Tech Talk – Distributed Ledger Technology. November 1, 2018, 5:00-6:00pm, HL 114

State Street will be on campus to host a Tech Talk on Distributed Ledger Technology (DLT). Learn about the impact of DTL on FinTech and the way we do business. There is no better time to bring in your resume and apply to your dream internship or full-time job!  See the flyer!