- School of Mathematics,
- University of Manchester
- Oxford Road, Manchester M13 9PL, UK
- j.moriarty [ 'at' symbol ] manchester.ac.uk
- Research interests
- Group members and vacancies
- Industrial collaborations
- Consultancy services
- Teaching and Outreach
Research interestsThe current focus of our group is the application of probability theory at the interface between mathematical finance and power systems engineering. From 2013 to 2017 I have an EPSRC Early Career Research Fellowship titled Optimal prediction in local electricity markets focusing on the pricing and hedging of risk in electricity demand, for better balancing of future power systems.
Group members and vacanciesCurrent group members
Postdoctoral: Our postdoctoral positions are currently filled.
PhD: Our group generally accepts one new PhD student per year. Please get in touch if you have good Mathematics degrees to Masters or MMath level with a strong component of probability or statistics courses.
Internships: These are short, focused projects, typically involving scientific programming and with a well-defined outcome, and can be offered at undergraduate, Masters and PhD level. Again please do not hesitate to get in touch if you are interested!
Industrial collaborationsOur group is delighted to be algorithm provider to the innovative startup company Upside, with whom we collaborate through PhD student Zehui Jin and postoctoral researcher Jhonny Gonzalez, funded by the Technology Strategy Board and EPSRC. We also provide algorithms to a startup electricity supplier.
Consultancy servicesWe carry out a limited amount of consultancy activity in order to maximise the impact of our work. Our most recent project was the practical application of Real Options Analysis for Electricity North West Ltd.
PublicationsPeer reviewed journal articles and (peer reviewed conference papers).
- J. Gonzalez, Y. Kitapbayev, T. Guo, J. V. Milanovic, G. Peskir and J. Moriarty. Application of sequential testing problem to online detection of transient stability status for power systems. 2016 (conference paper, 6pp). Submitted.
- T. De Angelis, G. Ferrari, J. Moriarty and R. Martyr. Optimal Entry to an Irreversible Investment Plan with Non Convex Costs. 2016, 28pp. Submitted, preprint
- J. Gonzalez, J. Moriarty and J. Palczewski. Bayesian Calibration and Number of Jump Components in Electricity Spot Price Models. 2016, 32pp. Submitted, preprint
- J. Schachter, P. Mancarella, J. Moriarty and R. Shaw. Flexible investment under uncertainty in smart distribution networks with demand side response: Assessment framework and practical implementation. 2016, 13pp. Submitted.
- J. Moriarty. A geometric answer to an open question of singular control with stopping. 2015, 25pp. Submitted, preprint
- T. De Angelis, G. Ferrari and J. Moriarty. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. 2015, 23pp. Submitted, preprint
- T. De Angelis, G. Ferrari and J. Moriarty. A Non Convex Singular Stochastic Control Problem and its Related
Optimal Stopping Boundaries.
SIAM Journal on Control and Optimization, 53:3 (2015), 1199-1223
- Y. Kitapbayev, J. Moriarty and P. Mancarella. Stochastic control and real
options valuation of thermal storage-enabled
demand response from flexible district energy systems.
Applied Energy 137, 823-831 (2015)
- T. De Angelis, G. Ferrari and J. Moriarty. A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. 2014, 27pp. Submitted, preprint
- J. Moriarty and J. Palczewski. American call options for power system balancing. 2014, 26pp. Submitted, preprint
- P. Z. Hadjipantelis, J. A. D. Aston, H.-G. Muller and J. Moriarty.
Analysis of spike train data: A multivariate mixed effects model for phase
Electronic Journal of Statistics 8:2 (2014), 1797-1807.
- J. Gonzalez and J. Moriarty. Risk-sensitive optimal switching and applications to district energy systems (peer reviewed conference paper, 6pp).
Probabilistic Methods Applied to Power Systems PMAPS 2014, preprint
- P. Z. Hadjipantelis, N. S. Jones, J. Moriarty, D. A. Springate, C. G.
Knight. Function-Valued Traits in Evolution.
Journal of the Royal Society Interface 10: 20121032 (2013).
- B. Haegeman, J. Hamelin, J. Moriarty, P. Neal, J. Dushoff, J. S.
Weitz. Robust estimation of microbial diversity in theory and in
The ISME Journal 7, 1092-1101 (2013) , Preprint
S. Jones and J.
Evolutionary Inference for Function-valued Traits: Gaussian Process
Regression on Phylogenies.
Journal of the Royal Society Interface 10: 20120616 (2013), ArXiv
- Y. Kitapbayev, P. Mancarella and J. Moriarty. A real options assessment of flexible district energy systems
(peer reviewed conference paper, 7pp).
10th International Conference on the European Energy Market EEM13, preprint.
- S. French, W. J. Nuttall, N. Argyris, J. Moriarty and P.J.Thomas. The
Early Phase of a Radiation Accident: Revisiting Thinking on Evacuation and
Exclusion Zones (peer reviewed conference paper, 5pp).
Proceedings of the 10th International ISCRAM Conference (2013).
- J. Moriarty. Feeding the Four Hundred.
MSOR Connections 13 (2013)
J.A.D. Aston, D. Buck, J.Coleman, C.J. Cotter, N.S. Jones, V. Macaulay, N. MacLeod, J. Moriarty, and A. Nevins. Phylogenetic inference for function-valued traits: speech sound
Trends in Ecology and Evolution 27:3, 160-166 (2012), Preprint
- G.W. Evatt, P.V. Johnson, P.W. Duck, S.D. Howell and J.
Expected Lifetime of an Extraction Project.
Proceedings of the Royal Society A 467 (2011), 244-263, MIMS Eprint
- G.W. Evatt, P.V.
Johnson, J. Moriarty, P.W. Duck, S.D. Howell, C.
Tonkin. The Resource and Optimisation Valuation Model: Real Impact from
Real Options (peer reviewed conference paper, 10pp.)
Proceedings of the 35th APCOM Symposium (2011).
- A. B. Dieker and J. Moriarty.
Reflected Brownian motion in a
wedge: sum-of-exponential stationary densities.
Electronic Communications in Probability 14:1 (2009).
- Y. Doumerc and J. Moriarty. Exit problems associated with affine
Probability Theory and Related Fields 145:3 (2009), 351-383, MIMS Eprint
- J. Moriarty and N. O'Connell. On the free energy of a directed polymer in a
Markov Processes and Related Fields 13 (2007), 251-266.
- J. Moriarty, J. R. Marchesi and A. Metcalfe. Bounds on the distribution of the
number of gaps when circles and lines are covered by fragments: Theory and practical
application to genomic and metagenomic projects.
BMC Bioinformatics 8:70 (2007).
SoftwareWhere software is developed in the course of our research, implementations are made available here for use or download as appropriate. All software is provided 'as is' and without warranties of any kind.
- MCMCnOU: Bayesian inference for sums of Gaussian and non-Gaussian Ornstein-Uhlenbeck processes. This is the code from our 2016 paper on electricity spot price models. Implemented in Matlab/C++-Mex.
- CO2e: Predictions of the carbon intensity of electricity generation in Great Britain up to 24 hours ahead (please get in touch if you would be interested in using this data).
Teaching and Outreach
- Engineering and Physical Sciences Faculty Best in eLearning 2013 commendation
- Journal article on eLearning in MSOR Connections
- Faculty eLearning showcase article on large class sizes
- Presentation from a Higher Education Academy workshop on social media
- Article for the BBC on the Monty Hall Problem
- Mutating Messages, an EPSRC funded public experiment at the Swinton High School: blog and lesson plan (at the National STEM Centre eLibrary)