From Locally Inefficient to Globally Efficient Markets

SLOAN CONFERENCE SERIES: Price regimes
Organized with École Polytechnique and the University of California at Irvine

FROM MICROSCOPIC MODELS TO ROUGH MACROSCOPIC MODELS

SLOAN CONFERENCE: Price regimes
Organized with École Polytechnique and the University of California at Irvine

In recent years, non-Markovian modeling has received a lot of attention in pure and applied financial modeling. It is of fundamental and practical interest to understand how such non-Markovian, or fractional behavior, as observed on a macroscale, can arise as a result of stated models on the microscale. Such analysis bears similarities, but also differences, to the analysis of physical systems from a scaling limit perspective. This conference will present some aspects of the process of understanding rough macroscale behavior as a result of certain microscopic dynamics.

Program

Quadratic Hawkes processes: A microfoundation for rough volatility models?
Jean-Philippe Bouchaud (Capital Fund Management/École polytechnique)

We discuss a natural generalization of the Hawkes processes that accounts for a feedback from past price trends and volatility onto current activity. The model naturally explains the power-law nature of price returns and the violation of time reversal invariance. It can be extended in various directions, in particular to model the activity in the order book and the occurrence of liquidity crises.

From no-arbitrage to rough volatility via market impact
Mathieu Rosenbaum (École polytechnique)

Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that under no-arbitrage assumption, the market impact function can only be of a power-law type. Furthermore, we prove that this implies that the macroscopic price is diffusive with rough volatility, with a one-to-one correspondence between the exponent of the impact function and the Hurst parameter of the volatility. Hence, we simply explain the universal rough behavior of the volatility as a consequence of the no-arbitrage property. From a mathematical viewpoint, our study relies, in particular, on new results about hyper-rough stochastic Volterra equations.

Modeling rough covariance processes
Christa Cuchiero (University of Vienna)

The rough volatility paradigm asserts that the trajectories of assets’ volatility are rougher than Brownian motion, a revolutionary perspective that has changed certain persistent views of volatility. It provides via stochastic Volterra processes a universal approach to capture important features of time series and option price data, as well as microstructural foundations of markets. We provide an infinite dimensional point of view on stochastic Volterra processes, which makes it possible to dissolve a generic non-Markovanity of the at-first-sight naturally low dimensional volatility process. This approach makes it possible to go beyond the univariate case and to treat multivariate rough covariance models, in particular of affine and Wishart type, for more than one asset.

VISIOCONFERENCE

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• Introduction



• Jean-Philippe Bouchaud (Capital Fund Management/École polytechnique)

Quadratic Hawkes processes: A microfoundation for rough volatility models? - Jean-Philippe Bouchaud - 02-02-2022

• Mathieu Rosenbaum (École polytechnique)

From no-arbitrage to rough volatility via market impact - Mathieu Rosenbaum - 02-02-2022

• Christa Cuchiero (University of Vienna)

Modeling rough covariance processes - Christa Cuchiero - 02-02-2022

KICK-OFF CONFERENCE: FRACTIONAL CALCULUS IN FINANCE

Sloan Grant Conference Series
Organized with École polytechnique and the University of California at Irvine
SESSION 1 – 11:00 am - 12:30 pm (New York) / 5:00 - 6:30 pm (Paris)

Introduction to the project and the conference
Josselin Garnier (École polytechnique), Knut Sølna (University of California at Irvine) and Jean-Philippe Touffut (Cournot Centre)

Excursion Risk: Linking properties of price paths with the analysis of dynamic trading strategies
Rama Cont (University of Oxford)

Discussion

12:30 - 1:30 pm (New York) / 6:30 - 7:30 pm (Paris) - BREAK

SESSION 2 – 1:30 - 3:00 pm (New York) / 7:30 - 9:00 pm (Paris)

The pricing conundrum of rough volatility
Antoine Jacquier (Imperial College London)

Endogenous regime shifts of persistence
Jean-Bernard Chatelain (Paris School of Economics)

Discussion
Closing remarks


VISIOCONFERENCE

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Introduction to the project and the conference


• Rama Cont (University of Oxford)


• Antoine Jacquier (Imperial College London)


• Jean-Bernard Chatelain (Paris School of Economics)

Insights from US Antitrust Enforcement History (1918-1941) for Competition Law and Economics in Times of Crisis

5:00 – 5:10 pm (11:00 – 11:10 am): Introduction: Antitrust during times of crisis and the lessons from the interwar period
Frédéric Marty (CNRS, Université Côté d’Azur)

5:15 – 5:35 pm (11:15 – 11:35 am): The issue of Bigness in Antitrust enforcement: Were structural remedies a solution?
Naomi R. Lamoreaux (Yale University)
Paper: "The Problem of Bigness: From Standard Oil to Google", Journal of Economic Perspectives, 33(3), Summer 2019, pp.94-117.

5:40-6:00 pm (11:40 am – 12:00 pm): From the War Industries Board to the National Industrial Recovery Act: A US model of regulated competition?
Thierry Kirat (CNRS; Université Paris Dauphine)
Paper by Thierry Kirat and Frédéric Marty: "From the First World War to the National Recovery Administration (1917-1935): The Case for Regulated Competition in the United States between the Wars"

6:05 – 6:15 pm (12:05 – 12:15 pm): Framing Antitrust as Public Interest Law, 1890 till 1960
Dina Waked (Sciences Po Law School)
Paper: “Antitrust as Public Interest Law: Redistribution, Equity, and Social Justice”, The Antitrust Bulletin, 65(1), 2020, pp. 87–101.

6:20 – 6:40 pm (12:20 – 12:40 pm): The antitrust policy of the 2nd New Deal (1938): Arguments for free competition
Spencer Weber Waller (Institute for Consumer Antitrust Studies, Loyola University Chicago)
Paper: "The Antitrust Legacy of Thurman Arnold", Saint John's Law Review, 78, 2004, pp.569-614.

6:45 – 7:05 pm (12:45 – 1:05 pm): Is the concentration of economic power a risk to democracy?
Daniel Crane (University of Michigan)
Paper: “Facism and Monopoly”, Michigan Law Review, 118(7), 2020, pp.1315-1370.

7:10 – 7:20 pm (1:10 – 1:20 pm): Concluding Remarks
Robert Boyer (Cournot Centre; Institute of the Americas)


VISIOCONFERENCE

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Naomi R. Lamoreaux (Yale University)

The issue of bigness in antitrust enforcement - Naomi R. Lamoreaux - 08-12-2020

• Thierry Kirat (CNRS; Université Paris Dauphine)

From the War Industries Board to the National Industrial Recovery Act - 08-12-2020

• Dina Waked (Sciences Po Law School)


• Spencer Weber Waller (Institute for Consumer Antitrust Studies, Loyola University Chicago)

The Antitrust Legacy of Thurman Arnold - Spencer Weber Waller - 08-12-2020

• Daniel Crane (University of Michigan)

Fascism and Monopoly - Daniel Crane - 08-12-2020

• Robert Boyer (Cournot Centre; Institute of the Americas)


• Discussion

Conference in honour of Nicole El Karoui

Co-organization of the conference held in honour of Nicole El Karoui – a pioneer of mathematics applied to finance – for her 50 years of scientific contributions. The four-day conference began with a day dedicated to Women in Science (WiSE), co-sponsored by the Cournot Centre and Foundation. The event marked the launch of the Cournot programme – geared towards a young audience – to promote the role of women in the development of probability theory and the advancement of their contributions.

Math en Jeans National Conference

As part of its Initiation to Probability program for middle-school students from Priority Education networks (REP) in France, the Cournot Foundation sponsored students from the Collège des Petits Ponts in Clamart, near Paris, to attend the annual national conference of the association Math en Jeans at CentraleSupélec Higher Education and Research Institution in Saclay. The students had a stand, presenting the methods and results of their work on the game of maximum.

Mathematical Economics after WWI

Within the framework of the conference commemorating the end of WWI: Mathematical Communities in the Reconstruction after the Great War (1918–1928)

Michel Armatte (Alexandre Koyré Center): Economic Cycles: From Descriptive Statistics to Formalization
Irina Konovalova-Peaucelle (French National Centre for Scientific Research - CNRS): Was the Russian Theory of Cycles a Mathematical Theory?
Pierre-Charles Pradier (University Paris I): Were the Foundations of Measurement without Theory Laid in the 1920s?

https://conferences.cirm-math.fr/1850.html

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Michel Armatte (Centre Alexandre Koyré)
2018-11_Michel_Armatte_Presentation.pdf


Irina Konovalova-Peaucelle (CNRS)
2018-11_Irina_Peaucelle_Presentation.pdf


Pierre-Charles Pradier (Université Paris I)
2018-11_Pierre-Charles_Pradier_Presentation.pdf

International Conference on Economic and Financial Risks

Participation in the international conference organized by IRIAF (Institute of Industrial, Insurance and Financial Risk) and CRIEF (Research Centre on Economic and Financial Integration), both of the University of Poitiers

Cournot Centre speakers:
Nicole El Karoui (Sorbonne University)
Longevity Risks: A Brief Overview of the State of Our Knowledge

Knut Sølna (University of California at Irvine/École Polytechnique; Cournot scholar 2017-2018)
On Memory, Regimes and Risk

Fractional Processes in Finance

Plenary speakers:
Eduardo Abi Jaber (Université Paris-Dauphine)
Lifting the Heston Model

Elisa Alòs (Universitat Pompeu Fabra, Barcelona)
The Short-Time Behavior of the Implied Volatility for Fractional Volatilities

Alexandre Brouste (Université du Maine)
Parametric Estimation in Self-Similar Processes at High Frequency

Omar El Euch (École polytechnique)
Multi-Factor Approximation of Rough Volatility Models

Archil Gulisashvili (Ohio University)
Volterra-Type Fractional Stochastic Volatility Models

Blanka Horvath (Imperial College, London)
Learning Rough Volatility

Antoine Jacquier (Imperial College, London)
Volatility Options in Rough Volatility Models

Josef Teichmann (ETH, Zurich)
Generalized Feller Processes and Markovian Lifts of Stochastic Volterra
Processes: The Affine Case

What’s Happening on World Energy Markets?

Hosted by the Alfred P. Sloan Foundation , New York

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AGENDA

MORNING SESSION (9:30 am – 11:30 am)

Welcome and Introduction to the Conference

Round Table – What’s Been Happening on Energy Markets?
Chaired by Robert Solow (MIT; Cournot Centre)


Michael Levi (Former Special Assistant to President Obama for Energy and Economic Policy)


Antoine Halff (Center on Global Energy Policy, Columbia University)
Presentation Antoine Halff_031017.pdf


Amy Myers Jaffe (Energy Security and Climate Change Program, Council on Foreign Relations)
Presentation Amy Myers Jaffe_031017.pdf


Lutz Kilian (University of Michigan)
Presentation Lutz Kilian_031017.pdf


Discussion


- LUNCH -

AFTERNOON SESSION (1:00 pm – 3:00 pm)
How to Model the Roughness of Oil and Gas Dynamics
Josselin Garnier (Ecole Polytechnique) &Knut Sølna (University of California, Irvine):
A Time-Frequency Analysis of Oil Price Data
Presentation_Josselin Garnier - Knut Solna_031017.pdf


Commentator: Gérard Ben Arous (New York University)
Commentator: Lutz Kilian (University of Michigan)
Discussion_Lutz Kilian_031017.pdf


Discussion
Closing Remarks

CONFERENCE SUMMARY

What can we say about the evolution of oil and gas prices?

The conference will address this issue by:
(i) presenting tools that can be used to describe the complex multi-scale structures of energy-market price data;
(ii) discussing the possible mechanisms behind these regime shifts;
(iii) considering the possible implications for hedging and risk assessment.

A special focus will be put on the evolution of prices since the end of 2014.

The observation of market price fluctuations sometimes reveals behaviors that cannot be well captured by standard models based on discrete-time random walks or continuous diffusion. In standard models, the return fluctuations of a risky asset are driven by Brownian motion, giving independent Gaussian returns. It has become clear that oil and gas price data vary at different interconnected scales, slow or fast: they have a complicated multi-scale structure that, moreover, may vary over time. Time-frequency analysis can be used to identify the main features of these variations and, in particular, the regime shifts. The analysis derives from a wavelet-based decomposition, a special decomposition of a signal in time-frequency components, and the associated scale spectrum. The joint estimation of the local Hurst coefficient (an index of smoothness) and volatility is the key to detecting and identifying regime shifts and changes in the oil price. For the first time since 1986, "persistence" processes of unprecedented force occurred between the end of 2014 and 2016, opening up a new period.

Kiyosi Itô’s Legacy from a Franco-Japanese Perspective

Ambassade de France au Japon , salle de réunion de l’atrium, 1F 4-11-44 Minami Azabu, Minato-ku, Tōkyō, 106-8514
- 7 minutes from the metro station Hiroo (Exit 1) - Access map : https://www.ambafrance-jp.org/Plan-d-acces-a-l-Ambassade

Organized by L'Institut des Hautes Études Scientifiques and Fondation et Centre Cournot

Contributors: Jean-Pierre Bourguignon (Institut des Hautes Études Scientifiques), Nicole El Karoui (École polytechnique), Masatoshi Fukushima (Osaka University), Tadahisa Funaki (University of Tokyo), Josselin Garnier (Université Paris Diderot), Daniel Goroff (Alfred P. Sloan Foundation), Shigeo Kusuoka (University of Tokyo), Glenn Shafer (Rutgers Business School), Jean-Philippe Touffut (Cournot Centre)

Due to security checks at the Embassy, please bring a photo I.D. and plan to arrive 20 minutes before the conference begins.

Presentations in English.

The work of Kiyosi Itô and the Japanese school of stochastic processes that he founded is exceptional both in its beauty as pure mathematics and in the insights it has provided in biology, chemistry, quantum physics, electrical engineering, and finance. As the International Mathematical Union attested in awarding Itô its first Carl Friedrich Gauss prize in 2006, his work ranks as part of the world’s cultural heritage.

From its outset, however, Itô’s work has stood in a special relationship to French mathematicians. The first citation in Itô’s published work, in fact, the first sentence of his first article, was to Paul Lévy’s, Théorie de l’addition des variables aléatoires . As Itô later wrote, he learned stochastic processes from this book. His goal was to make fully mathematical the beautiful structure the book depicted, and he succeeded. It is often said that other French mathematicians understood Lévy only after Itô had explained his contribution. Thirty years later, in the 1970s, Itô was still interacting with French mathematicians, embracing and further developing Paul-André Meyer’s semimartingale-based version of Itô’s theory of stochastic integration. Today, French mathematicians remain among those most keen to develop the applications of Itô’s calculus in physics and finance.

This conference examines Itô’s legacy from the perspective of this relationship. Is the theory of stochastic processes now truly a theory of sample paths as Lévy had envisioned? What has made Lévy processes and Itô’s understanding of stochastic integration so fruitful for applications in physics and finance? Where is Itô’s legacy taking us today?

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Thursday, 26 November 2015

10:30 am – Opening Session
• Glenn SHAFER (Rutgers Business School)
Whither Kiyosi Itô’s reconciliation of Lévy (betting) and Doob (measure)?
Shafer Presentation - Nov 2015.pdf



12:00 pm – Lunch

1:30 pm – Session 1: Itô’s Heritage
• Masatoshi FUKUSHIMA (Osaka University)
The Life and Mathematical Legacy of Itô Sensei
Fukushima Presentation - Nov 2015.pdf



• Daniel GOROFF (Sloan Foundation)
Abstraction vs. Application: Itô’s Calculus, Wiener’s Chaos, and Poincaré’s Tangle
Goroff Presentation - Nov 2015.pdf



3:00 pm – Coffee break

3:30 pm – Session 2: Itô and Stochastic Analysis
• Tadahisa FUNAKI (University of Tokyo)
Some Topics in Stochastic Partial Differential Equations
Funaki Presentation - Nov 2015.pdf



• Josselin GARNIER (Université Paris Diderot - Centre Cournot)
Itô's Calculus in Physics and Stochastic Partial Differential Equations
Garnier Presentation - Nov 2015.pdf

Friday, 27 November 2015

10:30 am – Session 3: Itô’s Calculus and Financial Applications
• Nicole EL KAROUI (École polytechnique)
What Makes Kiyosi Itô Famous on Trading Floors?
El Karoui Presentation - Nov 2015.pdf



• Shigeo KUSUOKA (University of Tokyo)
Itô Calculus, Malliavin Calculus and Finance
Kusuoka Presentation - Nov 2015.pdf



12:00 pm – Closing Remarks

• With the support of:
Ambassade de France au Japon
Japan Science and Technology Agency (CREST)
The Mathematical Society of Japan (MSJ)

Financing Science, or Innovation? Lessons from Europe, Japan and the U.S.

Speakers: Jean-Louis Beffa (Centre Cournot), Jean-Pierre Bourguignon (European Research Council), Daniel Goroff (Sloan Foundation), Yuko Harayama (Japanese Council for Science, Technology and Innovation), Thibaut Kleiner (European Commission), Julia Lane (American Institutes for Research), Beth-Anne Schuelke-Leech (Ohio State University), Robert Solow (MIT)

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9:15 am: Welcome and Introduction to the Conference
9:30 am: The Financing and Allocation of Innovation: Directions, Indicators and Incentives

• Thibaut Kleiner , European Commission



• Julia Lane , AIR
Julia Lane Presentation 29-09-2014



11 am: Coffee break
11:30 am: Venture Capital, Philanthropy and Public Financing

• Daniel Goroff , Sloan Foundation
Goroff Presentation 29-09-2014 (1.8 MiB)



• Beth-Anne Schuelke-Leech , Ohio State University
Schuelke-Leech Presentation 29-09-2014 (1.7 MiB)



1 pm: Buffet lunch
2:30 pm: Implications and Policy Conclusions for Governments and for Private Actors

• Jean-Pierre Bourguignon , European Research Council
Bourguignon Presentation 29-09-2014 (612.4 KiB)



• Yuko Harayama , Japanese Council for Science, Technology and Innovation
Harayama Presentation 29-09-2014 (760.2 KiB))

Are There Limits to the Probabilization of Science?

Organized with Harvard Medical School

Speakers: Noureddine El Karoui (UC, Berkeley), Josselin Garnier (University Paris VII), Alice Guionnet (MIT), Andreas Hilfinger (Harvard), Jonathan Le Roux (MERL), Johan Paulsson (Harvard)

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This conference brings together renowned probabilists from diverse scientific fields – probability theory, biology, geophysics, linguistics. By comparing definitions and methods, they assess the advance of probability in their respective disciplines and throughout the sciences as a whole. How do these disciplines intersect or diverge? Is there a common research agenda? What are the next steps in the development of probability?

Part I 10 am – 12 pm: The Advance of Probability: How Far Has It Come?

• Noureddine el Karoui (UC, Berkeley), The Relationship between Probability and Statistics



• Alice Guionnet (M.I.T.), Progress in Random Matrices
• Johan Paulsson (HMS), Defining a Stochastic Research Agenda in Systems Biology
Part II 1:30 – 3:30 pm: The Probability Approach

• Jonathan Le Roux (MERL): The Probabilization of Machine Perception in Speech and Audio



• Andreas Hilfinger (HMS): Understanding Biological Systems by Analyzing Stochastic Fluctuations



• Josselin Garnier (Université Paris-VII): Is a Common Agenda for Applied Probabilists Possible?

The Limits of the Probabilization of Science