267 citations · 281 across the 8 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
q-fin.PM2023
Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
Owen Futter, Blanka Horvath, Magnus Wiese
In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies…
cs.LG2023★ 1 cited
Sig-Splines: universal approximation and convex calibration of time series generative models
Magnus Wiese, Phillip Murray, Ralf Korn
We propose a novel generative model for multivariate discrete-time time series data. Drawing inspiration from the construction of neural spline flows, our algorithm incorporates li…