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16th March 2021
09:50 to 10:00 Zoom Room Opens
10:00 to 10:05 Welcome and Introduction Jane Leeks (Newton Gateway to Mathematics)
Session 1: Examples of Rough Paths in Action (Chair: Jane Leeks)
10:05 to 10:35 Rough Paths – Streamed Data Terry Lyons (University of Oxford), (The Alan Turing Institute)
10:35 to 11:00 Early Warning System for Sepsis Detection Using Signature-Based Machine Learning Models Hao Ni (University College London), (The Alan Turing Institute)
Session 2: Understanding Clouds of Paths and Their Applications (Chair: Thomas Cass)
11:00 to 11:25 Inference from Evolving Populations: Agriculture Maud Lemercier (University of Warwick), (The Alan Turing Institute)
11:25 to 11:45 Tea & Coffee Break
11:45 to 12:10 Inference from trees: Cybersecurity Thomas . (GCHQ)
12:10 to 12:35 Decision Making with Lung Cancer Trees of Genetic Mutations Cris Salvi (University of Oxford)
Ariana Huebner (TRACERx)
12:35 to 13:35 Lunch
Session 3: Log Signatures and Controlled Differential Equations (Chair: Harald Oberhauser)
13:35 to 14:00 Neural Controlled Differential Equations Patrick Kidger (University of Oxford)
14:00 to 14:25 Log Signatures and Neural Controlled Differential Equations James Morrill (University of Oxford)
14:25 to 14:50 Path Signature Example Notebooks Peter Foster (The Alan Turing Institute)
14:50 to 15:10 Tea & Coffee Break
Session 4: Applications & Challenges – End-Users Perspectives (Chair: Terry Lyons)
15:10 to 15:35 A Data-Driven Market Simulator for Small Data Environments Blanka Horvath (King's College London), (JP Morgan)
Magnus Wiese (University of Kaiserslautern)
Blanka Horvath (King's College London), (JP Morgan)
Magnus Wiese (University of Kaiserslautern)
15:35 to 16:00 Deep hedging: Learning Risk-Neutral Implied Volatility Dynamics Hans Buehler (JP Morgan)
16:00 to 16:30 Break-Out Rooms - Questions and Discussion