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AN12 Day 1 Highlights

The 2012 SIAM Annual Meeting (AN12) and the SIAM Conference on Financial Mathematics & Engineering (FM12) kicked off Sunday with the Student Orientation and Welcome Reception in Minneapolis, Minnesota.

SIAM Annual Meeting Co-chairs Michele Benzi & Tasso Kaper

The sessions and lectures started Monday morning with Gunnar Carlsson of Stanford University speaking about the Shape of Data in an invited presentation.   Studying the shape of data involves using geometrical and topological ideas. “Shape matters,” Dr. Carrlson stated, and described how topological analysis allows us to interpret and extract information from data. He explained various aspects of topology:  measuring shapes, representing them in compressed form, making computations to describe them.

Gunnar Carlsson speaks on the Shape of Data

Mapping the density inside data sets enables measuring the depth of data, its multidimensionality and scale. With examples ranging from diabetic populations and cell cycle microarrays to Netflix customer data, Carrlson emphasized the importance of shape to analyze data sets in various fields.

Kristin Lauter of Microsoft Research spoke about Elliptic Curve Cryptography and Applications. Starting with the applications of public key cryptography, such as key exchange and signature schemes, she went on to describe real-world uses such as encrypted e-mail, virtual private networking, and digital authentication. Dr. Lauter explained that public key operations are more computationally expensive than symmetric keys.  To get around these issues of increased power, bandwidth and bandwidth, elliptic curve cryptography was introduced, which requires fewer bits for storage and sending  because no sub-exponential attacks are known on elliptic curve cryptography. It is being rapidly deployed for signatures and key exchange. Lauter explained that even while the use of cryptography is increasing, many promising applications have not yet reached a point of widespread use.

Hank Warchall, Deputy Division Director for the NSF Division of Mathematical Sciences, gave an overview of various funding opportunities available at the NSF, breaking them down by research areas. He spoke about the awards and grants available, special research programs and recent opportunities. Warchall concluded by urging the audience to apply for programs, since the amount of funding available tends to be proportional to the number of applicants.

Kristin Lauter on Elliptic Curve Cryptography and Applications

In an afternoon plenary lecture on Systemic Risk, George Papanicolaou of Stanford University surveyed a topic of great relevance today—models for systemic risk and the implications that can be drawn from them. Laying out the picture of an evolving system with a large number of interconnected components—each of which can exist in a normal or failed state—he described Systemic Risk as the probability of overall failure of the system. He went on to explain that modeling the intrinsic stability of each component, their inter-connectedness, and the strength of external perturbations to the system contribute to studying the behavior of systemic risk. Papanicolaou spoke about the effect of electronic trading and automated exchanges increase in increased liquidity and risk. Illustrating the significance of systemic risk in current mathematical finance research, Papanicolaou stressed the need for mathematicians to perform this type of critical financial math research, as government officials, traders and financiers, either do not have the inclination or the resources to study it.

Barbara Lee Keyfitz of The Ohio State University, recipient of the 2012 AWM-SIAM Sonia Kovalevsky Lecture, took the stage after Dr. Papanicolaou. “Does anybody need a 5-minute break to call their broker?” she began, drawing laughter. Her prize lecture, The Role of Characteristics in Conservation Laws, while not one to set off jitters in the audience, focused on a significant area: highlighting critical information that characteristics can offer in systems of conservation laws. Specifically, Dr. Keyfitz focused on characteristic curves in one space dimensions and surfaces in higher dimensions.

Dr. Keyfitz explained that the person behind the prize had a lot to do with her inspiration for the topic. “Kovalevsky found a very good use for characteristics,” she said, going on to pay tribute to the first woman to earn a doctorate in mathematics, hailing her as her own hero. The Sonia Kovalevsky award is given jointly by AWM and SIAM in order to highlight significant contributions by women to applied or computational mathematics.

Steven Shreve of Carnegie Mellon University elucidated on an optimal execution strategy for purchasing shares of a financial asset over a fixed interval of time in a talk titled Optimal Execution in a General One-Sided Limit Order Book. Explaining that purchases of the asset have a nonlinear impact on price—and are moderated over time by resilience in the limit-order book determining the price—he demonstrated the arbitrary shape of the limit-order book. Dr. Shreve concluded that the optimal strategy is an initial lump purchase followed by continuous purchases for a period of time during which the rate of purchase is set to match the order book resiliency. This is followed by a lump purchase and another period of purchasing continuously at a rate that is set to match the order book resiliency.

Barbara Lee Keyfitz giving the AWM-SIAM Sonia Kovalevsky Lecture (Photo courtesy of Nick Higham)

In a talk titled Stable Diffusions With Rank-based Interactions and Models of Large Equity Markets, Columbia University’s Ioannis Karatzas discussed models developed to assign growth rates and variances that depend on both the names and ranks of individual assets. Such models are simple enough to allow detailed analytical study, but can still capture critical features of the stability of capital distribution over the past century, Dr. Karatzas explained. These models have connections with Queueing Networks in heavy traffic and competing particle systems in Statistical Mechanics.

The Panel on BIG Data in Applied Mathematics, Computational Science, and Statistics was a fitting session for the Annual Meeting, as vast amounts of data today are making an impact on fields as wide-ranging as bioinformatics, high energy physics, and social science.

Sastry Pantula (Division of Mathematical Science, NSF) explained the specific strengths that mathematicians and statisticians can bring to big data analysis, such as machine learning, pattern recognition, spatial-temporal models etc. Gunnar Carlsson (Stanford University) explained how statistical and mathematical tools and tricks can allow us to glean as much information from data as possible. He pointed out that the term “big” data was a misnomer.“The word big doesn’t do it justice since even small data sets can be complex,” Carlsson said.

The panel focused not only on the various applications of big data, and methods to analyze it, but also emphasized the need to be cautious in interpreting it, taking care to determine its source, and taking into account any pre-processing of information.

There are also issues with reading too much into data, leading to false interpretations and discoveries, they pointed out. “The scary thing about data analysis is if you stare at something long enough you’re going to find something,” said Tammy Kolda (Sandia National Labs).

Emily Shuckburgh also reminded the panel and audience that privacy is a big concern. “There’s a real risk that big data becomes big brother,” she said.

Two sessions on Undergraduate Research in Applied and Computational Mathematics focused on research studies by undergraduates. Topics covered a wide range of areas from neural networks and gene regulation to climate modeling and periodic dispersion.

An AWM workshop in the evening offered some very timely and relevant points of discussion for female scientists, discussing new skills required in tough economic times.

The day ended with the Career Fair, Graduate Student and Industry Reception. Students and those in their early careers interacted with peers and professionals in the field, gaining insights and advice from academics and industry professionals alike. Argonne National Laboratory, Lawrence Berkeley National Laboratory, MathWorks, MIT Lincoln Laboratory, the National Security Agency, Oak Ridge National Laboratory, and Sandia National Laboratories were among the organizations present. The fair proved to be a great networking and professional development event, offering students ideas on various interesting career paths that are available in this vast and multidisciplinary field.

Following the Career Fair students headed to a Student Social at Loring Kitchen and Bar organized by student volunteers from the University of Minnesota.

The AN12 Student Social at Loring Kitchen & Bar (Photo credit: Madeline Schrier)

Registration numbers passed 1,000, and counting at the end of day 1 of the Annual Meeting. We are looking forward to many more!

Tweets of the day:

Paul Constantine ‏@DrPaulynomial

Tim Davis’ talk is literally poetic. Consider me a fan. #SIAMAN12

David Gleich ‏@dgleich

All the big data panelists have these cool #bigdata buttons#siaman12 #jealous

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WHAT TO LOOK FOR ON TUESDAY:

Invited Lectures:

8:30 AM – 9:15 AM

IC3 Applying Mathematics to Better Understand the Ocean

Emily Shuckburgh, British Antarctic Survey, United Kingdom

Nicollet ABC – Level 1

9:15 AM – 10:00 AM

IC4 Image Processing and Computational Mathematics

Tony Chan, Hong Kong University of Science and Technology, Hong Kong

Nicollet ABC – Level 1

8:30 AM – 9:15 AM

IC3 Simulation Schemes for Stopped Lévy Processes

Peter Tankov, Université Paris-Diderot, France

Nicollet D2/3 – Level 1

9:15 AM – 10:00 AM

SP6 SIAG/FME Junior Scientist Prize: Market-Based Approach to Modeling Derivatives Prices

Sergey Nadtochiy, Oxford University, United Kingdom

Nicollet D2/3 – Level 1

Prize Lecture:

2:30 PM – 3:30 PM

SP2 The John Von Neumann Lecture: Liquid Crystals for Mathematicians

John Ball, University of Oxford, United Kingdom

Nicollet ABC – Level 1

8:00 PM – 10:00 PM

Special Events:

12:30 PM – 2:30 PM

Prizes and Awards Luncheon (ticket required)

Exhibit Hall – Level 1

PP1 Poster Session and Dessert Reception

Exhibit Hall – Level 1

Business meetings:

6:15 PM – 7:15 PM

SIAM Business Meeting

Nicollet ABC – Level 1

7:30 PM – 8:00 PM

SIAG/FME Business Meeting

Nicollet D2/3 – Level 1

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