10 citations · 10 across the 2 of their papers we have counts for
3 papers
On the fully analytical cumulative distribution of product of correlated Gaussian random Variables with zero means
Erdinc Akyildirim, Alper Hekimoglu
We derive a fully analytical, one-line closed-form expression for the cumulative distribution function (CDF) of the product of two correlated zero-mean normal random variables, avo…
Randomized Signature Methods in Optimal Portfolio Selection
Erdinc Akyildirim, Matteo Gambara, Josef Teichmann +1
We present convincing empirical results on the application of Randomized Signature Methods for non-linear, non-parametric drift estimation for a multi-variate financial market. Eve…
Applications of Signature Methods to Market Anomaly Detection
Erdinc Akyildirim, Matteo Gambara, Josef Teichmann +1
Anomaly detection is the process of identifying abnormal instances or events in data sets which deviate from the norm significantly. In this study, we propose a signatures based ma…