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stat.AP2026
Scale or speed? When do path signatures improve volatility-regime forecasts?
Yang Lyu, Kiseop Lee
We study when path signatures, increasingly used as model-free features of return paths, improve out-of-sample forecasts of volatility regimes. In daily United States and developed…
stat.AP2026
Neural Networks Learning the Radon--Nikodym Derivative: Empirical Option Pricing in Incomplete Markets
Ziyuan Zhang, Kiseop Lee
In incomplete markets, no-arbitrage (NFLVR) guarantees the existence, not the uniqueness, of an equivalent local martingale measure (ELMM): unhedgeable risks (jumps, stochastic vol…