Matias Data

Publications

1. On the relative projective space (with J. Osorio). Theory and Applications of Categories, Vol. 34, 2019, No. 3, pp 58-79. Available here.

1. A construction of 2-filtered bicolimits of categories with 2-fibrations, Topos à l’IHES, Institut des Hautes Études Scientifiques (IHES), 2015. Slides.

Merton's portfolio problem with exponential utility (joint work with L. Latini and M. Sachdev).
Optimal market-making with incentive make-take fees (review of papers on optimal market making with and without incentives including Avellaneda and Stoichov, Gueant et. al. and O. El Euch et. al., joint work with L. Latini and M. Sachdev).
Shrinking the cross section (S. Kozak et. al. paper review, joint work with M. Choudhury and L. Latini).
Reinforcement learning applications to statistical arbitrage (in spanish, Udesa MSc in Finance thesis).
The smile effect and local volatility models (paper review of B. Dupire - Pricing with a smile).
Temporal difference algorithm with linear function approximation. (review of the convergence proof by J. N. Tsitsiklis).
General equilibrium from a differentiable viewpoint. (review of S. Smale proof of the existence of a general equilibrium).
Notes on topos theory.
Monadic cohomology.
Notas de Teoría de Categorías (in spanish, partially based on the course by E. Dubuc).
Support vector machines (in spanish).

Jefe de Trabajos Prácticos (Head Teaching Assistant), Departamento de Matemática, FCEyN, Universidad de Buenos Aires.

Recent courses:

Optimización (Optimization), 1st semester, 2020.
Matemática 2 (Linear Algebra for physicists), 1st semester, 2019.
Probabilidades y Estadística (C) (Probability and Statistics for computer scientists), 2nd semester, 2018.