10 citations · 10 across the 1 of their papers we have counts for
2 papers
q-fin.PM2023
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…
q-fin.CP2022★ 10 cited
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…