David Evangelista

Ph.D. student

KAUST - King Abdullah University of Science and Technology

Hello!

I am a Ph.D. Candidate at King Abdullah University of Science and Technology (KAUST), working in the areas of partial differential equations, mean-field games (MFG), and market microstructure. I expect to receive a Ph.D. from KAUST in June 2019, under the direction of Professor Diogo A. Gomes.

My research interests are in optimal control theory, nonlinear partial differential equations, MFG, and market microstructure. MFG is a framework to study interactions of a large number of indistinguishable players that play differential games. MFG has become an active research area with applications in financial and industrial engineerings, economics, crowd dynamics, and more. Moreover, market microstructure is an area of finance concerned on how trading mechanisms affect the price formation process. My interests range from active subjects of applied mathematics, such as MFG, to empirics of high-frequency finance. I aim at developing novel applications of optimal control and MFG theory to market microstructure, aligned with numerical, empirical, and practical aspects of financial markets.

Interests

Partial differential equations
Mean-field games
Optimal control theory
Game Theory
Market microstructure
Optimal execution
Price formation

Education

Ph.D. in Applied Mathematics, 2019

KAUST - King Abdullah University of Science and Technology
M.Sc. in Mathematics - Modeling and Computational Mathematics, 2014

IMPA - Instituto de Matematica Pura e Aplicada
B.Sc. in Mathematics, 2011

Universidade Federal de Sao Carlos

News

An updated version of my CV can be found here.
Sep 2018 – I visited Prof. Yuri Saporito at Fundacao Getulio Vargas. Research topics: Optimal execution, price discovery, and mean-field games.
Jul 2018 – I was lucky to get the Best Paper Presented by a Young Scholar award from the International Society of Dynamic Games at the 18th International Symosium of Dynamic Games and Applications July 11, 2018 in Grenoble, France. KAUST News here.
Apr-May 2018 – I visited Charles-Albert Lehalle at Capital Fund Management and Prof. Mathieu Rosenbaum at Ecole Polytechnique. Research topics: Optimal execution, market making and mean-field games.

Publications

New closed-form approximations in multi-asset market making
Details arXiv
Optimal inventory management and order book modelling
Details HAL arXiv
First order, stationary mean-field games with congestion
Details arXiv Journal
Radially symmetric mean-field games with congestion
Details arXiv Journal
On the existence of solutions for mean-field games with congestion
Details arXiv Journal
Existence of positive solutions for an approximation of stationary mean-field games
Details arXiv Journal

Talks

Sep 2018 - Mean-field games of optimal traders in front of a market maker. Congresso Nacional de Matematica Aplicada e Computacional (CNMAC), Campinas, Brazil.
Sep 2018 - Mean-field games of optimal traders in front of a market maker. Fundacao Getulio Vargas, Rio de Janeiro, Brazil.
Jul 2018 - On the existence of solutions for stationary mean-field games with congestion. 18th International Symposium of Dynamic games and Applications, Grenoble, France.
Jun 2018 - Mean-field games of optimal traders vs. a market maker. UCLA Graduate Summer School on Mean-Field Games and Applications, Los Angeles, USA.
May 2018 - Explorations of Kyle’s maket maker in front of a mean-field game of large traders. Capital Fund Management, Paris, France.
Jul 2017 - Mean-Field Games with Congestion. Poster presentation at CEMRACS2017, Numerical methods for stochastic models: control, uncertainty quantification, mean-field. CIRM, Marseille, France.
Jul 2016 - New a Priori Estimates for mean-Field Games with Congestion. Poster presentation at The 11th AIMS Conference on Dynamical System, Differential Equations and Applications. Orlando, USA.
Jun 2016 - Mean-Field Games with Congestion. Visiting Prof. Fabio Bagagiolo. Univesity of Trento, Trento, Italy.
Jan 2016 - New a Priori Estimates for Mean-Field Games with Congestion. Poster competition at the Winter Enrichment Program. KAUST, Thuwal, Saudi Arabia.
Jun 2015 - Generalized Mean-Field Games with Congestion. Contributed talk at the International Workshop in Elliptic and Kinetic PDEs Conference. IMPA, Rio de Janeiro, Brazil.
Dec 2014 - Analysis of a Multi-Factor Model for Commodities Markets. Poster at the Research in Options Conference. Buzios, Brazil.
Aug 2014 Stochastic Models in Finance. Oral Presentation at the Symposium of Students. IMPA, Rio de Janeiro, Brazil.
Jun 6 2014 - Ito’s Integral. Oral Presentation at the Probability and Graphs Regular Course of Ph.D. in Mathematics, IMPA - Rio de Janeiro, Brazil.

Dec 2013 - Analysis of a Multi-Factor Model for Commodity Forward Curves in Energy Markets. Poster at the Research in Options Conference. Buzios, Brazil.
Nov 2011 - Stochastic Calculus and PDE Models in Finance. Oral Presentation at the Teaching Education Program (PET). Federal University of Sao Carlos, Sao Carlos, Brazil.
Sep 2011 - Elements of Stochastic Calculus and the Black and Scholes Model. Journey of Mathematics. Federal University of Sao Carlos - Sao Carlos, Brazil.

Events

Jul 2018 - I got the best paper presented by a young scholar award at the 18th International Symposium of Dynamic Games and Applications, in Grenoble, France, for the paper On the existence of solutions for stationary mean-field games with congestion, joint work with Prof. Diogo Gomes.
Apr-May 2018 - I visited Charles-Albert Lehalle at Capital Fund Management and Prof. Mathieu Rosenbaum at Ecole Polytechnique for research collaboration on mean-field games with applications to finance.
Jul 2017 - Participation in the project: Optimal trading and order book dynamics at CEMRACS2017, Numerical methods for stochastic models: control, uncertainty quantification, mean-field - CIRM, Marseille, France.
2017 – Workshop on Mean-Field Games - UCLA, Los Angeles, California, USA.
2017 - Advanced School & Workshop on Nonlocal Partial Differential Equations and Applications to Geometry, Physics and Probability - ICTP, Trieste, Italy.
2016 - Research in Options - IMPA-NYU-Bloomberg, Buzios, Brazil.
2016 - The 11th AIMS Conference on Dynamical Systems, Differential Equations and Applications. Orlando, Florida, USA.
2016 - First Joint Meeting Brazil-Italy in Mathematics - IMPA, Rio de Janeiro, Brazil.
2016 - Nonlinear PDEs: Optimal Control, Asymptotic Problems and Mean-Field Games - University of Padova, Padova, Italy.
2016 - Winter Enrichment Program - KAUST, Thuwal, Saudi Arabia.
2015 - International Conference on Current Trends in Analysis and PDEs - IMPA-UT Austin, Rio de Janeiro, Brazil
2015 - 30th Brazilian Coloquium of Mathematics - IMPA, Rio de Janeiro, Brazil.
2015 - International Workshop in Elliptic and Kinetic PDEs - IMPA-UT Austin, Rio de Janeiro, Brazil.
2014 - Research in Options - IMPA-NYU-Bloomberg, Buzios, Brazil.
2013 - Research in Options - IMPA-NYU-Bloomberg, Buzios, Brazil.
2012 - Research in Options - IMPA-NYU-Bloomberg, Buzios, Brazil.
2011 - Research in Options - IMPA-NYU-Bloomberg, Angra dos Reis, Brazil.
2011 - Journey of Mathematics - Federal University of Sao Carlos, Sao Carlos, Brazil.
2010 - Research in Options - IMPA-NYU-Bloomberg, Angra dos Reis, Brazil.
2008 - Congress of Undergraduate Research - Federal Univeristy of Sao Carlos, Sao Carlos, Brazil.

Teaching

During my formal studies I have worked as a teacher assistant for the following courses:

Functional Analysis. KAUST. 2016.
Special Topics - Weak Solutions for PDEs. KAUST. 2016.
Linear Algebra. KAUST. 2015.
Computational Methods in Finance: Numerical Analysis. IMPA. 2014.
Series and Ordinary Differential Equations. UFSCar. 2009.

In the above courses, I taught turorial classes, guided discussions, graded homework, and provided regular office hours.

Contact

david.evangelista@kaust.edu.sa
+966 54 2908295
david.evangelista.sj
Building 1 Room 4307-WS23, Kaust, Thuwal, 23955, Saudi Arabia