8 citations · 9 across the 3 of their papers we have counts for
3 papers
Learning with Expected Signatures: Theory and Applications
Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart
The expected signature maps a collection of data streams to a lower dimensional representation, with a remarkable property: the resulting feature tensor can fully characterize the…
Estimation and Inference for Multivariate Continuous-time Autoregressive Processes
Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart
The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate Lévy-driven continuous-time autoregressive processes of order $p\in\ma…
The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective
Lorenzo Lucchese, Mikko Pakkanen, Almut Veraart
In this paper, we conduct a systematic large-scale analysis of order book-driven predictability in high-frequency returns by leveraging deep learning techniques. First, we introduc…