# Joint Seminar of the Department of Probability Theory & Vega Foundation

The speakers of the seminar introduce the listeners to the latest achievements in the field of financial and actuarial mathematics.

The seminar is primarily aimed at undergraduate students of last two years, graduate students and PhD students. However, everyone can take part, having passed the preliminary registration.

The leaders of the seminar are Academician of the Russian Academy of Sciences Albert Nikolaevich Shiryaev, Chief Executive Officer of the Foundation Kirill Yuryevich Klimov and Senior Researcher of the Steklov Mathematical Institute of Russian Academy of Sciences Mikhail Valentinovich Zhitlukhin

**Sign up for the seminar**

### Teachers

__The schedule is subject to change__

Language: Russian, English

Format: online

**SCHEDULE FOR THE SPRING SEMESTER' 24**

**April 10, 6:30-8:00pm (Moscow time)**

Vincent LIANG

*Melbourne University, Australia*

**On boundary crossing probabilities of diffusion processes**

First we discuss a discrete time discrete space Markov chain approximation to with a Brownian bridge correction for computing . For a broad class of and diffusion processes, we prove the convergence of the constructed approximations to in the form of products of the respective substochastic matrices as the time grid is getting finer. Numerical results indicate that the convergence rate is in the case of -boundaries and a uniform time grid with steps.

In the second part of the talk, in the case when we prove the existence of and obtain an explicit compact representation for the Gâteaux derivative of the boundary non-crossing probability functional in the direction

Joint work with K.\ Borovkov.

**April 3, 6:30-8:00pm (Moscow time)**

Alexey METEYKIN

*postgraduate student of the Probability Theory Department, Moscow State University*

**Optimal market making using market order flow information**

Arthur SIDORENKO

*postgraduate student of the Probability Theory Department, Moscow State University*

**The Meyer—Zheng Topology and Portfolio Investment with Proportional Transaction Costs**

**March 27, 6:30-8:00pm (Moscow time)**

Igor KOZIK

*dissertation candidate at the Department of Probability Theory (supervisor - V. Piterbarg)*

**Study and application of the connection between discrete and continuous time in modeling the trajectories of Gaussian processes taking into account high excursions**

**March 20, 6:30-8:00pm (Moscow time)**

Evgeniy PCHELINTSEV

*Head of the Laboratory of Statistics of Random Processes and Quantitative Financial Analysis, Tomsk State University*

**Efficient estimation of a regression function with small intensity L´evy noise**

Based on Pinsker's method, an exact lower bound is found for the normalized mean square accuracy of the estimates. For a Sobolev ellipse with exponential coefficients, the lower bound is calculated explicitly from complete and incomplete data.

**March 13, 6:30-8:00pm (Moscow time)**

Jean JACOD

*Université Pierre & Marie Curie, Paris VI, France*

**Systematic Jump Risk**

**March 6, 6:30-8:00pm (Moscow time)**

Alexandra NOVIKOVA

*postgraduate student of the Probability Theory Department, Moscow State University*

**Skorokhod embedding problem. On its key solutions and applications**

**February 28, 6:30-8:00pm (Moscow time)**

Elina AKHUNJANOVA

*6th year student of the Probability Theory Department, Moscow State University*

**Effects of intransitive interaction of customers on service characteristics in the M|M|1|2 system **

Georgy MALINOVSKY

*postgraduate student of the Probability Theory Department, Moscow State University*

**Limit theorems for subcritical Bellman-Harris branching processes with long particle lifetimes and doubly stochastic Poisson immigration**

**February 21, 6:30-8:00pm (Moscow time)**

Sergey ASEEV

*Corresponding member RAS, Head Department of Differential Equations Steklov Mathematical Institute*

**The Pontryagin maximum principle for infinite-horizon optimal control problems in economics**

**SCHEDULE FOR THE FALL SEMESTER' 23**

**November 29, 6:30-8:00pm (Moscow time)**

Mikhail URUSOV

*professor of the University of Duisburg-Essen, Germany*

**On certain stochastic control problems arising in optimal trade execution**

We discuss how to extend the class of controls, first, from finite-variation processes to semimartingales and, second, beyond semimartingales. The need for such extensions arises when we introduce stochastically evolving liquidity parameters into the optimal trade execution problem.

The exposition covers some ideas from [1] and proceeds with [2].

This is a joint work with Julia Ackermann and Thomas Kruse.

References:

[1] Julia Ackermann, Thomas Kruse and Mikhail Urusov. Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. Finance and Stochastcis 25, 757-810, 2021. arXiv: https://arxiv.org/abs/2006.05863

[2] Julia Ackermann, Thomas Kruse and Mikhail Urusov. Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. Accepted in Finance and Stochastics, 2023. arXiv: https://arxiv.org/abs/2206.03772

**November 22, 6:30-8:00pm (Moscow time)**

Marina MIKITCHUK

*Postgraduate student, Moscow School of Economics, Moscow State University; scholarship holder of Vega Institute Foundation*

**Development assistance: the effectiveness of the benefit-oriented motive and its formation factors**

**November 15, 6:30-8:00pm (Moscow time)**

Dean FANTAZZINI

*Doctor of Economics, Professor of the Department of Econometrics and Mathematical Methods of Economics, Moscow School of Economics, Moscow State University*

**Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases**

Detecting pump-and-dump schemes involving cryptoassets with high-frequency data is challenging due to imbalanced datasets and the early occurrence of unusual trading volumes. To address these issues, we propose constructing synthetic balanced datasets using resampling methods and flagging a pump-and-dump from the moment of public announcement up to 60 min beforehand. We validated our proposals using data from Pumpolymp and the CryptoCurrency eXchange Trading Library to identify 351 pump signals relative to the Binance crypto exchange in 2021 and 2022. We found that the most effective approach was using the original imbalanced dataset with pump-and-dumps flagged 60 min in advance, together with a random forest model with data segmented into 30-s chunks and regressors computed with a moving window of 1 h. Our analysis revealed that a better balance between sensitivity and specificity could be achieved by simply selecting an appropriate probability threshold, such as setting the threshold close to the observed prevalence in the original dataset. Resampling methods were useful in some cases, but threshold-independent measures were not affected. Moreover, detecting pump-and-dumps in real-time involves high-dimensional data, and the use of resampling methods to build synthetic datasets can be time-consuming, making them less practical.

**November 8, 6:30-8:00pm (Moscow time)**

Vladimir KUTSENKO

*postgraduate student of the Probability Theory Department, Moscow State University*

**Simulation of branching random walks in a random environment**

**November 1, 6:30-8:00pm (Moscow time)**

Ekaterina PALAMARCHUK

*Cand. sc. in Mathematics and Physics, CEMI RAS, NRU HSE, MI RAS)*

**Study on linear stochastic control systems under non-ergodic optimality criteria**

**October 25, 6:30-8:00pm (Moscow time)**

Platon PROMYSLOV

*Postgraduate student, Department of Probability Theory, Moscow State University; scholarship holder of Vega Institute Foundation*

**Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments**

**October 18, 6:30-8:00pm (Moscow time)**

Oleg KUDRYAVTSEV

*Doctor of Physical and Mathematical Sciences, Associate Professor*

**Modern problems of computational financial mathematics**

You can watch the meetings that took place earlier in the playlist of the Foundation's channel.