### Organization

### Upcoming Events

#### Colloquium: Elizabeth Meckes

Thursday, September 27th, 2018

04:00 PM - 05:00 PM

Storrs Campus

MONT 214

Special Semester in Probability Lectures

Title:Convergence of spectral measures and eigenvalue rigidity in random matrices

Abstract: The behavior of the eigenvalues of large random matrices is generally very predictable, on multiple scales. Macroscopically, results like the semi-circle law describe the overall shape of the eigenvalue distributions, and it is often the case that spectral measures are approximated asymptotically almost surely, and with known estimates on distances, by deterministic limiting measures. On a microscopic scale, we may see the phenomenon of eigenvalue rigidity, in which individual eigenvalues concentrate strongly at predicted locations. I will describe some general approaches to these phenomena, with many examples: Wigner matrices, Wishart matrices, random unitary matrices, truncations of random unitary matrices, Brownian motion on the unitary group, and others.

https://www.math.uconn.edu/research/seminars/show-poster/?TalkID=15738

Contact Information: Iddo Ben-Ari

More#### Colloquium: Van Vu

Thursday, October 4th, 2018

04:00 PM - 05:00 PM

Storrs Campus

TBA

Special Semester in Probability Lectures

Title: TBA

Abstract: https://www.math.uconn.edu/research/seminars/show-poster/?TalkID=15739

Contact Information: Iddo Ben-Ari

More#### Colloquium: Walter Schachermayer

Thursday, October 11th, 2018

04:00 PM - 05:00 PM

Storrs Campus

TBA

Special Semester in Probability Lectures

Title: Market Impact and the Intraday Trading

Invariance Hypothesis

Abstract: A basic problem when trading in financial markets is to analyze the prize movement caused by placing an order. Clearly we expect

- ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called the market

impact.

Following the recent work of A. Kyle and A. Obizhaeva we apply

dimensional analysis - a line of arguments well known in classical physics - to analyze to which extent the square root law applies. This

universal law claims that the market impact is proportional to the

square root of the size of the order.

We also analyze the dependence of the trading activity on a stock,

i.e. number of trades per unit of time, in dependence of some suitable explanatory variables. Dimensional analysis leads to a 2/3 law: the

number of trades is proportional to the power 2/3 of the exchanged

risk.

The mathematical tools of this analysis reside on elementary linear algebra.

Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi.

https://www.math.uconn.edu/research/seminars/show-poster/?TalkID=15392

Contact Information: Iddo Ben-Ari

More#### Research Workshop in Financial Mathematics

Saturday, October 13th, 2018

12:00 AM - 11:59 PM

Storrs Campus

TBD

Visit

https://probsem18.math.uconn.edu/?p=170

Contact Information: Iddo Ben-Ari

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