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q-fin.TR2025
Kernel Learning for Mean-Variance Trading Strategies
Owen Futter, Nicola Muca Cirone, Blanka Horvath
In this article, we develop a kernel-based framework for constructing dynamic, pathdependent trading strategies under a mean-variance optimisation criterion. Building on the theore…
stat.ML2025
Signature Maximum Mean Discrepancy Two-Sample Statistical Tests
Andrew Alden, Blanka Horvath, Zacharia Issa
Maximum Mean Discrepancy (MMD) is a widely used concept in machine learning research which has gained popularity in recent years as a highly effective tool for comparing (finite-di…