Fifth Workshop on Game-Theoretic Probability and Related Topics

Programme. Venue: CIMAT

Thursday 13 November — Friday 14 November — Saturday 15 November

Thursday, 13 November 2014 (with emphasis on game-theoretic probability)

7:30 - 9:00 Breakfast
9:00 - 9:30 Registration
9:30 - 11:00 Session 1: Game-theoretic probability I (Chair: Víctor M. Pérez Abreu C.)

9:30 - 10:00 Glenn Shafer (Rutgers Business School - Newark and New Brunswick, Newark, NJ, USA), Introduction to the workshop and game-theoretic probability
10:00 - 10:30 Gert de Cooman (SYSTeMS Research Group, Ghent University, Belgium), A game-theoretic ergodic theorem for imprecise Markov chains
10:30 - 11:00 Shota Nakagawa (University of Tokyo), Games for discrete-time Markov chain and their application to verification
11:00 - 11:30 Coffee break
11:30 - 13:30 Session 2: Game-theoretic probability II (Chair: Philip Dawid)

11:30 - 12:00 Akimichi Takemura (University of Tokyo, Japan), A game-theoretic proof of the Erdos-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for fair-coin tossing (joint work with Takeyuki Sasai and Kenshi Miyabe)
12:00 - 12:30 Alexander V. Outkin (Sandia National Laboratories), On applications of game-theoretic probability and defensive forecasting to agent-based models of markets
12:30 - 13:00 Jasper de Bock (SYSTeMS Research Group, Ghent University, Belgium), Imprecise probability trees: a comparison of two different approaches and their limit behaviou
13:00 - 13:30 Kenshi Miyabe (Meiji University), Derandomization in game-theoretic probability (joint work with Akimichi Takemura)
13:30 - 15:30 Lunch
15:30 - 17:00 Session 3: Prequential statistics and testing randomness (Chair: Daniel Hernandez)

15:30 - 16:00 Philip Dawid (University of Cambridge, Emeritus), Fundamentals of Prequential Analysis
16:00 - 16:30 Mark Davis (Imperial College, London), A prequential approach to financial risk management
16:30 - 17:00 Yuri Gurevich (Microsoft Research, Redmond, WA), Impugning alleged randomness
Evening: Workshop dinner

Friday, 14 November 2014 (with emphasis on probability-free finance)

7:30 - 9:00 Breakfast
9:30 - 11:00 Session 4: Probability-free finance (Chair: Kathryn Laskey)

9:30 - 10:00 Mark Davis (Imperial College, London), Pathwise local time
10:00 - 10:30 Pietro Siorpaes (University of Oxford), Pathwise versions of the Burkholder-Davis-Gundy inequality
10:30 - 11:00 Jacob Abernethy (University of Michigan), Introduction to prediction markets
11:00 - 11:30 Coffee break
11:30 - 13:30 Session 5: Prediction markets (Chair: Mark Davis)

11:30 - 12:00 Miroslav Dudik (Microsoft Research, New York), Theory and implementation of (combinatorial) prediction markets
12:00 - 12:30 Rafael M. Frongillo (Microsoft Research, New York), Possibility and impossibility of liquidity adaptation in prediction markets
12:30 - 13:00 Kathryn Laskey (George Mason University, Washington, DC), SciCast: A combinatorial prediction market for science and technology forecasting
13:00 - 13:30 Jacob Abernethy (University of Michigan), Learning, markets, and exponential families
13:30 - 15:30 Lunch
15:30 - 17:00 Session 6: Mathematical and philosophical foundations (Chair: Gert de Cooman)

15:30 - 16:00 Dusko Pavlovic (University of Hawaii), Does God play dice in game theoretic probability?
16:00 - 16:30 Elie Ayache, (ITO 33, Paris), The market of contingent claims
16:30 - 17:00 Robert Meister (University of California, Santa Cruz), Just optionality (TBC)

Saturday, 15 November 2014 (with emphasis on prediction with expert advice)

7:30 - 9:00 Breakfast
9:30 - 11:00 Session 7: Prediction with expert advice I (Chair: Yuri Kalnishkan)

9:30 - 10:00 Wouter Koolen (Queensland University of Technology and Unversity of California, Berkeley), Buy low, sell high
10:00 - 10:30 Ambuj Tewari (University of Michigan), Sequential complexities and uniform martingale laws of large numbers (joint work with Alexander Rakhlin and Karthik Sridharan)
10:30 - 11:00 Vladimir Vovk (Royal Holloway, University of London), Laws of probabilities in efficient markets
11:00 - 11:30 Coffee break
11:30 - 13:30 Session 8: Rough paths (Chair: Akimichi Takemura)

11:30 - 12:00 Rimas Norvaisa (Institute of Mathematics and Informatics, Vilnius University), Power variation and p-variation of sample functions of stochastic processes
12:00 - 12:30 Ilia Nouretdinov (Royal Holloway, University of London), Power variation and variation index
12:30 - 13:00 Harald Oberhauser (University of Oxford), Some applications of the signature
13:00 - 13:30 Evgeny Burnaev (Datadvance LLC, Institute for Information Transmission Problems, and Moscow Institute of Physics and Technology), Non-parametric volatility estimation based on wavelet transform
13:30 - 15:30 Lunch
15:30 - 17:00 Session 9: Prediction with expert advice II (Chair: Dusko Pavlovic)

15:30 - 16:00 Dmitry Adamskiy (Royal Holloway, University of London), A closer look at adaptive regret
16:00 - 16:30 Yuri Kalnishkan (Royal Holloway, University of London), Practical prediction with specialist experts
16:30 - 17:00 Vladimir V'yugin (Institute for Information Transmission Problems, Moscow) Log-optimal portfolio selection using the method of calibration

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