Research outputs
2022
The Lyapunov spectrum for conditioned random dynamical systems
Authors: Matheus M. Castro, Dennis Chemnitz, Hugo Chu, Maximilian Engel, Jeroen S. W. Lamb, Martin Rasmussen
Authors: Matheus M. Castro, Vincent P. H. Goverse, Jeroen S. W. Lamb, Martin Rasmussen
The mean field limit of stochastic differential equation systems modelling grid cells
Authors: José A. Carrillo, Andrea Clini, Susanne Solem
Porous media equations with nonlinear gradient noise and Dirichlet boundary conditions
Authors: Andrea Clini
Path integrals, particular kinds, and strange things
Authors: Karl Friston, Lancelot Da Costa, Dalton A. R. Sakthivadivel, Conor Heins, Grigorios A. Pavliotis, Maxwell Ramstead, Thomas Parr
Modelling non-reinforced preferences using selective attention
Authors: Noor Sajid, Panagiotis Tigas, Zafeirios Fountas, Qinghai Guo, Alexey Zakharov, Lancelot Da Costa
Authors: Conor Heins, Lancelot Da Costa
On Bayesian Mechanics: A Physics of and by Beliefs
Authors: Maxwell J D Ramstead, Dalton A R Sakthivadivel, Conor Heins, Magnus Koudahl, Beren Millidge, Lancelot Da Costa, Brennan Klein, Karl J Friston
The free energy principle made simpler but not too simple
Authors: Karl Friston, Lancelot Da Costa, Noor Sajid, Conor Heins, Kai Ueltzhöffer, Grigorios A. Pavliotis, Thomas Parr
Geometric Methods for Sampling, Optimisation, Inference and Adaptive Agents
Authors: Alessandro Barp, Lancelot Da Costa, Guilherme França, Karl Friston, Mark Girolami, Michael I. Jordan, Grigorios A. Pavliotis
A mixed generative model of auditory word repetition
Authors: Noor Sajid, Emma Holmes, Lancelot Da Costa, Cathy Price, Karl Friston
How Active Inference Could Help Revolutionise Robotics
Authors: Lancelot Da Costa, Pablo Lanillos, Noor Sajid, Karl Friston, Shujhat Khan
Universality of Winning Tickets: A Renormalization Group Perspective
Authors: William T. Redman, Tianlong Chen, Zhangyang Wang, Akshunna S. Dogra
Hamiltonian neural networks for solving equations of motion
Authors: Marios Mattheakis, David Sondak, Akshunna S. Dogra, Pavlos Protopapas
Learning reversible symplectic dynamics
Authors: Riccardo Valperga, Kevin Webster, Victoria Klein, Dmitry Turaev, Jeroen S. W. Lamb
Axioms for Quantum Gauge Fields
Authors: Min Chul Lee, James Glimm
Simulation methods and error analysis for trawl processes and ambit fields
Authors: Dan Leonte, Almut E. D. Veraart
On the fractal dimensions for deterministic and random substitution graph systems
Authors: Ziyu Li
Authors: Ben Hambly, Julian Meier, Andreas Sojmark
McKean-Vlasov Equations with Positive Feedback through Elastic Stopping Times
Authors: Ben Hambly, Julian Meier
Fast and Slow Optimal Trading with Exogenous Information
Authors: Alessandro Micheli, Eyal Neuman
SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis
Authors: Deborah Miori, Mihai Cucuringu
Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes
Authors: Deborah Miori, Mihai Cucuringu
Decentralised Finance and Automated Market Making: Execution and Speculation
Authors: Álvaro Cartea, Fayçal Drissi, Marcello Monga
Decentralised Finance and Automated Market Making: Permanent Loss and Optimal Liquidity Provision
Authors: Álvaro Cartea, Fayçal Drissi, Marcello Monga
Asymptotic Analysis of Deep Residual Networks
Authors: Rama Cont, Alain Rossier, Renyuan Xu
Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks
Authors: Rama Cont, Alain Rossier, RenYuan Xu
Quantitative Universal Approximation Bounds for Deep Belief Networks
Authors: Julian Sieber, Johann Gehringer
On the (Non-)Stationary Density of Fractional-Driven Stochastic Differential Equations
Authors: Xue-Mei Li, Fabien Panloup, Julian Sieber
Markov decision processes with observation costs
Authors: Christoph Reisinger, Jonathan Tam
Topologies on unparameterised path space
Authors: Thomas Cass, William F. Turner
Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds
Authors: Aymeric Vie, Maarten Scholl, Alissa M. Kleinnijenhuis, Doyne J. Farmer
Simulation of Arbitrage-Free Implied Volatility Surfaces
Authors: Rama Cont, Milena Vuletic
Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks
Authors: Milena Vuletić, Felix Prenzel, Mihai Cucuringu
Authors: Ziheng Wang, Justin Sirignano
Authors: Ziheng Wang, Justin Sirignano
Interactions of market making algorithms: a study on perceived collusion
Authors: Wei Xiong, Rama Cont
Random vortex dynamics via functional stochastic differential equations
Authors: Zhongmin Qian, Endre Süli, Yihuang Zhang
Volatility forecasting with machine learning and intraday commonality
Authors: Chao Zhang, Yihuang Zhang, Mihai Cucuringu, Zhongmin Qian
Random vortex dynamics via functional stochastic differential equations
Authors: Zhongmin Qian, Endre Süli, Yihuang Zhang
2021
Authors: Matheus M. Castro, Jeroen S. W. Lamb, Guillermo Olicón Méndez, Martin Rasmussen
The mean field limit of stochastic differential equation systems modelling grid cells
Authors: José A. Carrillo, Andrea Clini, Susanne Solem
Authors: Thomas Parr, Lancelot Da Costa, Conor Heins, Maxwell James D. Ramstead, Karl J. Friston
Stochastic Chaos and Markov Blankets
Authors: Karl Friston, Conor Heins, Kai Ueltzhöffer, Lancelot Da Costa, Thomas Parr
A Drive towards Thermodynamic Efficiency for Dissipative Structures in Chemical Reaction Networks
Authors: Kai Ueltzhöffer, Lancelot Da Costa, Daniela Cialfi, Karl Friston
Active inference, Bayesian optimal design, and expected utility
Authors: Noor Sajid, Lancelot Da Costa, Thomas Parr, Karl Friston
Branching Time Active Inference: the theory and its generality
Authors: Théophile Champion, Lancelot Da Costa, Howard Bowman, Marek Grześ
Bayesian brains and the Rényi divergence
Authors: Noor Sajid, Francesco Faccio, Lancelot Da Costa, Thomas Parr, Jürgen Schmidhuber, Karl Friston
Bayesian Mechanics for Stationary Processes
Authors: Lancelot Da Costa, Karl Friston, Conor Heins, Grigorios A. Pavliotis
Signature asymptotics, empirical processes, and optimal transport
Authors: Thomas Cass, Remy Messadene
The dynamics of the Koopman-van Hove angular and linear momentum operators
Authors: Remy Messadene
Closed-Loop Nash Competition for Liquidity
Authors: Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman
Scaling Properties of Deep Residual Networks
Authors: Alain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu
Mild Stochastic Sewing Lemma, SPDE in Random Environment, and Fractional Averaging
Authors: Xue-Mei Li, Julian Sieber
Functional Limit Theorems for Volterra Processes and Applications to Homogenization
Authors: Johann Gehringer, Xue-Mei Li, Julian Sieber
Modelling SARS-CoV-2 coevolution with genetic algorithms
Authors: Aymeric Vie
Authors: Aymeric Vie
Population network structure impacts genetic algorithm optimisation performance
Authors: Aymeric Vie
Global Convergence of the ODE Limit for Online Actor-Critic Algorithms in Reinforcement Learning
Authors: Ziheng Wang, Justin Sirignano
Authors: Serte Donderwinkel, Zheneng Xie
Tracking the vortex motion by using Brownian fluid particles
Authors: Zhongmin Qian, Youchun Qiu, Yihuang Zhang
Large and moderate deviations for importance sampling in the Heston model
Authors: Marc Geha, Antoine Jacquier, Zan Zuric
Deep Hedging under Rough Volatility
Authors: Blanka Horvath, Josef Teichmann, Zan Zuric
2020
The relationship between dynamic programming and active inference: the discrete, finite-horizon case
Authors: Lancelot Da Costa, Noor Sajid, Thomas Parr, Karl Friston, Ryan Smith
Authors: Karl Friston, Lancelot Da Costa, Danijar Hafner, Casper Hesp, Thomas Parr
Some interesting observations on the free energy principle
Authors: Karl Friston, Lancelot Da Costa, Thomas Parr
Active inference on discrete state-spaces: a synthesis
Authors: Lancelot Da Costa, Thomas Parr, Noor Sajid, Sebastijan Veselic, Victorita Neacsu, Karl Friston
Evidence of Crowding on Russell 3000 Reconstitution Events
Authors: Alessandro Micheli, Eyal Neuman
Slow-Fast Systems with Fractional Environment and Dynamics
Authors: Xue-Mei Li, Julian Sieber
Formulae for the Derivative of the Poincaré Constant of Gibbs Measures
Authors: Julian Sieber
Qualities, challenges and future of genetic algorithms: a literature review
Authors: Aymeric Vie, Alissa M. Kleinnijenhuis, Doyne J. Farmer
Asymptotic strong Feller property and local weak irreducibility via generalized couplings
Authors: Oleg Butkovsky, Fabrice Wunderlich
Robust pricing and hedging via neural SDEs
Authors: Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška, Lukasz Szpruch, Žan Žurič

A typical realisation of the Brownian web: coalescing Brownian trajectories emanate from every point of the plane simultaneously. Trajectories are coloured according to their creation time/age. (Martin Hairer)

A simulation of Dyson Brownian motion for the Gaussian Orthogonal Ensemble of random symmetric matrices of size 50. (Jon Keating)