EQUIPRICE lunch seminars

Equiprice lunch seminars are hybrid (in person and / or virtual, depending on the COVID context) lunch seminars designed to serve as technical tutorials or presentation of work in progress in relation to the scientific agenda of the ERC-sponsored project EQUIPRICE. Unless noted ‘internals,’ seminars are public and open to all, but registration to the in person event is required 48 hours before.

Note: All times indicated on this page refer to the Paris time zone.

Events 2020-2021

Upcoming talks:

• September (TBA). Reading of Roth,  Rothblum and Vande Vate’s Stable Matchings, Optimal Assignments, and Linear Programming.
• September 23. Professor Nicola Rosaia (Columbia University) will present “Duality and Estimation of Undiscounted Markov Decision Processes”. Paper here.
  Show Abstract
  Abstract: This paper studies estimation of undiscounted Markov decision processes (MDPs). Exploiting convex analytic methods, it argues that undiscounted MDPs can be treated as static discrete choice models over state-action frequencies, leveraging this idea to derive a conjugate duality framework for studying this type of models. It then exploits this framework to draw implications in several dimensions. First, it characterizes the empirical content of undiscounted MDPs, analyzing how exclusion or parametric restrictions can produce identification of agents’ payoffs, and providing an axiomatic characterization of the undiscounted dynamic logit model; second, it proves convergence of simple inversion algorithms
  based on progressive Tâtonnements, and investigates novel estimation strategies based on these. Finally, it shows that the dual framework extends to models with persistent fixed effects and to models where certain actions or states are unobserved.

Past talks:

• July 15, 1pm. Loan Tricot on Bertsekas’ auction algorithm.
• ***WEDNESDAY*** June 23th, ***12.30pm-2pm***. Pauline Corblet. Job market practice talk.
• June 17, 1pm. Loan Tricot on “Reconstructing the order flow with optimal transport”.
  Show Abstract
  Abstract: Exchanges receive three types of orders:

  • Limit orders, making liquidity
  • Market orders, taking liquidity
  • Cancel orders, taking liquidity

  Limit orders are standing offers to buy (sell) a defined amount at a defined price. They can be cancelled using Cancel orders. Market orders are orders to buy a defined amount at market price: the best price which can be achieved using standing offers. Limit orders are accumulated and aggregated into a tick level order book, which contains the size of aggregated standing offers at each price. Market orders trigger one or more trades when they are matched with one or more Limit orders. Exchanges stream the order book updates and the trades flow to market participants, but never stream the order flow. Order book updates and trades are usually not aligned (w.r.t. time) and sometimes presented in aggregate form. The large number of, and lack of standardization between, (crypto) exchanges means there are no guarantees concerning the quality of the data. The order flow is valuable data which can be used to study agents’ behavior on the market, and possibly design algorithmic trading strategies. We attempt to reconstruct the order flow from the order book updates and trades flow.

• June 3rd, 1pm. Bastien Patras on BLP and MPEC.
• *** Tuesday*** May 25th, 1pm. Reading of The Contraction Mapping Approach to the Perron-Frobenius Theory: Why Hilbert’s Metric?.
• May 20th, 1pm (public). Professor Guillaume Carlier (Paris-Dauphine University), on “the linear convergence of the multi-marginal Sinkhorn algorithm.”
• April 29th, 1pm. Reading of Bubeck and Cesa-Bianchi’s Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems  chapters 1-3.
• April 15th, 1pm. Flavien Léger on Bregman divergence and gradient descent (part 2).
• April 8th, 1pm. Flavien Léger on Bregman divergence and gradient descent (part 1).
• March 25th, 1pm. Pauline Corblet on the link between Gale and Shapley and some iterative methods in applied mathematics.
• March 18th, 1pm. Jules Baudet on course allocation mechanisms (continued).
• March 4th, 1pm. Pauline Corblet on many-to-one matching problems.
  Show Abstract
  Abstract: TBC.
• February 18th, 1pm (public). Jules Baudet on course allocation mechanisms (continued).
  Show Abstract
  Abstract: Continued from Jan 7.
• February 11th, *** 5pm *** (public). Professor Xin Chen (University of Illinois) on S-convexity.
  Show Abstract
  Abstract: TBC.
• January 14th, 1pm (public). Flavien Léger on Chambolle-Pock.
  Show Abstract
  Abstract: TBC.
• January 7th, 1pm (public). Jules Baudet on “the multi-unit assignment problem: matching students to course schedules”.
  Show Abstract
  Abstract: In this talk, we will review a series of papers by Eric Budish and his co-authors on the multi-assignment problem, which consists in answering: how to optimally assign bundles of items to agents? In particular, we will study the allocation of course schedules to students.
  First, we will see that traditional optimality criteria used for single-item matching are difficult to extend to combinatorial settings by looking at the flaws of the Harvard Course Allocation mechanism. Then, we will introduce the A-CEEI mechanism which offers better fairness, strategyproofness and efficiency guarantees.
  The reference papers for this talk are:
  – Budish, E. (2011). The combinatorial assignment problem: Approximate competitive equilibrium from equal incomes. Journal of Political Economy, 119(6), 1061-1103.
  – Budish, E., & Cantillon, E. (2012). The multi-unit assignment problem: Theory and evidence from course allocation at Harvard. American Economic Review, 102(5), 2237-71.
  – Budish, E., Cachon, G. P., Kessler, J. B., & Othman, A. (2017). Course match: A large-scale implementation of approximate competitive equilibrium from equal incomes for combinatorial allocation. Operations Research, 65(2), 314-336.
• December 10th, *** 5pm *** (public). Professor Pierre-Olivier Weill (UCLA) on optimal transport in asset pricing problems.
  Show Abstract
  The talk will be based on the paper “Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing” with Bruno Biais and Johan Hombert.
  Abstract: Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize with Optimal Transport methods. Moreover, there is a basis going always in the same direction: the price of a security is lower than that of replicating portfolios of long positions. Finally, equilibrium expected returns are concave in factor loadings.
• November 26th, 1pm (public). Flavien Léger on computing large-scale regularized optimal transport problems.
  Show Abstract
  Abstract: We shall describe some aspects of handling large scale problems, in Python.
• November 12th, 1pm. Alfred Galichon on ‘EQUIPRICE: research program and challenges’.
  Show Abstract
  Abstract: In this talk, I will outline the broader research program of EQUIPRICE, and I will describe some scientific challenges and some projects for EQUIPRICE in 2020-2021.
• October 29th, 1pm (public). Jules Baudet will be presenting on ‘Cloud Computing and Containers part 3: Understanding Docker containers, continued’.
• October 22nd, 1pm (public). Jules Baudet will be presenting on ‘Cloud Computing and Containers part 2: Understanding Docker containers’
  Show Abstract
  Abstract: In this second session (continued from part 1), we will demonstrate how to create a Virtual Machine on Google Cloud, on which we will deploy a container containing Jupyter notebooks. We will also show how to access and run these notebooks. We will conclude by comparing Google Colab to Google Cloud for running notebooks.
• October 15nd, 1pm (public). Jules Baudet on kidney exchanges.
  Show Abstract
  Abstract: Re-organizing the French Kidney Exchange Program
  Jules BAUDET
  Market Design is an area of Economics that leverages Game Theory, Experimental Economics and Algorithms to fix market failures by proposing implementable solutions. In 2012, Alvin Roth received the Nobel Prize for his work, in which he studied and helped fix essential matching markets (doctors residency match, school seats allocation…). One of his most famous work is the design of a Kidney Paired Donation Program, allowing to overcome Patient-Donor incompatibilities by exchanging donors between pairs. In this talk, we will analyze and propose solutions to the operational challenges faced by the French Agency for Biomedicine in creating a successful Kidney Paired Donation (KPD) Program. We will study the impact of parameters such as patient priority criteria, size constraints on exchanges and frequency of match runs on the total number of grafts. This talk will underline the dynamic tradeoffs at stake in designing a KPD program, and the importance of conducting regular simulations to adapt the organization of the program to the structure of its pool of participants.
  This talk will be based on the following paper.
• October 8, 1pm (public). Flavien Léger on ‘The back-and-forth method in optimal transport’
  Show Abstract
  Abstract: For this first lunch seminar we will follow the ‘‘math+econ+code’’ design. We will present the back-and-forth method [1], a recent state-of-the-art algorithm to solve optimal transport problems.
  We will then offer a brief introduction to KeOps [2], an easy-to-use library with a python interface to perform large-scale kernel operations on GPUs. We will implement the back-and-forth method on optimal transport, hedonic equilibrium and equilibrium transport problems.
  [1] Matt Jacobs and Flavien Léger. A fast approach to optimal transport: The back-and-forth method. Numerische Mathematik, 2020. To Appear.
  [2] https://www.kernel-operations.io/keops/index.html
• September 24th, 1pm (public). Jules Baudet on ‘Cloud Computing and Containers part 1: Understanding Docker containers’
  
  Show Abstract
  Abstract: Abstract: This series of talks aims at introducing and showcasing the basic functionalities of Virtual Machines and Docker Containers. Through live demonstrations, we will see how to bundle an application and all of its dependencies in a container before deploying it in the cloud, on a Virtual Machine. In particular, we will show you how to run Jupyter notebooks located inside containers on Virtual Machines. Note: If you would like to follow along during the tutorials, you will need to create a free account on Google Cloud Platform: https://cloud.google.com/?hl=en and to install docker on your computer: https://docs.docker.com/desktop/. In a first session, we will start by introducing Docker containers and comparing them to Virtual Machines. Containers are a technology that revolutionized the computing industry by allowing developers to bundle an application and all its dependencies in a single structure. We will then show how to create, build, and deploy a Docker container. The demonstration will end by sending our Docker Container to Google Cloud Container Registry, in order to be accessible for our following tutorial.

Sponsored by the European Research Council grant EQUIPRICE