arXiv research

Constructs area-minimizing submanifolds with fractal singularities.

Paper proves existence of area-minimizing submanifolds on almost any manifold with fractal singular sets.

Proves spectra equivalence for Riemannian manifolds.

I will talk about my recent work with Fernando Marques where we used Almgren-Pitts Min-max Theory to settle some open questions in Geometry: The Willmore conjecture, the Freedman-He-Wang conjecture for links (jointly with Ian Agol), and the existence of infinitely many minimal hypersurfaces in manifolds of positive Ric…

This research proves that two min-max theories for hypersurfaces are equivalent.

In Riemannian manifolds, minimal hypersurfaces with large area exist or have complex structures.

Minimal surfaces in 8D smooth and nondegenerate.

We propose two methods to obtain exact solutions for the Almgren-Chriss model about optimal execution of portfolio transactions. In the first method we rewrite the Almgren-Chriss equation and find two exact solutions. In the second method, employing a general reparametrized time, we show that the Almgren-Chriss equatio…

We show that there is no analog of Kirszbraun's extension theorem for Almgren's multiple valued functions.

Derives Weyl law for volume spectrum using parametric inequalities.

Solves optimal liquidation problem for stock price following geometric Brownian motion.

Study confirms a 2-sphere metric with three geodesics of minimal length.

Study proves uniform ellipticity implies uniform polyconvexity for anisotropic energy functionals.

Investigates convexity of minimizers under mass constraint using nonlocal perimeter and potential.

In this paper we discuss various minimality properties for the orthogonal product of two 1-dimensional $\Y$ sets, and some related problems. This is motivated by an attempt to give the classification of singularities for 2-dimensional Almgren-minimal sets in $\R^4$.

Sharp stability in Almgren problem solved in any dimension.

In analogy with Almgren's Theorem for area minimizing currents of general dimension and codimension, we prove that an $m$-dimensional semicalibrated current in a $(n+m)$-dimensional $C^{3,\varepsilon_0}$ manifold, semicalibrated by a $C^{2,\varepsilon_0}$ $m$-form, has singular set of Hausdorff dimension at most $m-2$.

Analytic saddle spheres in S^3 are equators.

In this paper we disprove a conjecture stated in [4] on the equality of two notions of dimension for closed cones. Moreover, we answer in the negative to the following question, raised in the same paper. Given a compact family $\mathcal{C}$ of closed cones and a set $S$ such that every blow-up of $S$ at every point $x\…

We aim at explaining the most basic ideas underlying two fundamental results in the regularity theory of area minimizing oriented surfaces: De Giorgi's celebrated $\varepsilon$-regularity theorem and Almgren's center manifold. Both theorems will be proved in a very simplified situation, which however allows to illustra…

Two years ago, F.C. Marques and A.A. Neves implemented, in the framework of closed rectifiable 2-dimensional currents of the 3-dimensional sphere, a min-max method in geometric measure theory due to F. Almgren and J. Pitts. Using this approach they succeeded in proving that the famous Clifford torus minimizes the area …

Optimizes liquidation strategies for assets with Levy process price dynamics.

We present an exposition of a remarkable example attributed to Frederick Almgren Jr. in \cite[Section 5.11]{Federer74} to illustrate the need of certain definitions in the calculus of variations. The Almgren-Federer example, besides its intended goal of illustrating subtle aspects of geometric measure theory, is also a…

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-re…

In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization problem. We also discuss the optimality of the volume-weighted average-price st…

This paper optimizes brokerage contracts for multiple clients trading a single asset.

In this paper, we study the shape of the min-max minimal hypersurface produced by Almgren-Pitts-Schoen-Simon \cite{AF62, AF65, P81, SS81} in a Riemannian manifold $(M^{n+1}, g)$ of positive Ricci curvature for all dimensions. The min-max hypersurface has a singular set of Hausdorff codimension $7$. We characterize the …

We introduce a notion of non-local almost minimal boundaries similar to that introduced by Almgren in geometric measure theory. Extending methods developed recently for non-local minimal surfaces we prove that flat non-local almost minimal boundaries are smooth. This can be viewed as a non-local version of the Almgren-…

The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal liquidation rhythm. The very question of the actual way to proceed with liquida…

In this survey, we discuss various aspects of the minimal surface equation in the three-sphere S^3. After recalling the basic definitions, we describe a family of immersed minimal tori with rotational symmetry. We then review the known examples of embedded minimal surfaces in S^3. Besides the equator and the Clifford t…

Study nonlocal minimal surfaces for minimal surfaces in 3D manifolds.

For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus…

For any smooth Riemannian metric on an $(n+1)$-dimensional compact manifold with boundary $(M,\partial M)$ where $3\leq (n+1)\leq 7$, we establish general upper bounds for the Morse index of free boundary minimal hypersurfaces produced by min-max theory in the Almgren-Pitts setting. We apply our Morse index estimates t…

We analyze a notion of multiple valued sections of a vector bundle over an abstract smooth Riemannian manifold, which was suggested by W. Allard in the unpublished note "Some useful techniques for dealing with multiple valued functions" and generalizes Almgren's $Q$-valued functions. We study some relevant properties o…

The paper establishes a sub-additive inequality for volume and ε-phase-transition spectra of Riemannian manifolds.

New method for evolving surfaces using generalized power mean curvature flow.

Modeling market makers' quoting strategies to understand price impact.

Study on the nodal set of Dirac equation solutions on manifolds.

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based on the assumption that no shares of assets per unit of time are trade at the be…

The paper shows how Sobolev maps affect currents in metric spaces.

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic interactions into the Almgre…

Paper solves trade-off between internalisation and externalisation in stochastic trade flows.

In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work stems from the degeneracy of the second order terms and the quadratic growth of the first order terms in the associated …

We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of market impact, namely instantaneous, permanent and temporary. We show that the solutions to the two benchmark models of Almgren and Chris (20…

Reinforcement learning is explored as a candidate machine learning technique to enhance existing analytical solutions for optimal trade execution with elements from the market microstructure. Given a volume-to-trade, fixed time horizon and discrete trading periods, the aim is to adapt a given volume trajectory such tha…

Paper uses RL to optimize trading in time-varying liquidity markets.

The paper proves prevalent existence and partially determines moduli space of area-minimizing surfaces with fractal singular sets.

This is the last of a series of three papers in which we give a new, shorter proof of a slightly improved version of Almgren's partial regularity of area minimizing currents in Riemannian manifolds. Here we perform a blow-up analysis deducing the regularity of area minimizing currents from that of Dir-minimizing multip…