4 papers
How Fast Do Signatures Learn? Statistical Theory and Applications for Path Regression
Blanka Horvath, Wen Su, Wu Su +2
Many prediction and decision-making problems in operations research involve path-valued covariates -- data that evolve over time -- for which path signatures have become a canonica…
Tradable Itô Signatures: A Model-Free, Interpretable Framework for Dynamic Hedging
Xin Guo, Binnan Wang, Ruixun Zhang
We propose an interpretable machine-learning framework for dynamic hedging using the Itô signature transform, which turns asset-price paths into a set of linear features that unive…
The checkerboard copula and dependence concepts
Liyuan Lin, Ruodu Wang, Ruixun Zhang +1
We study the problem of choosing the copula when the marginal distributions of a random vector are not all continuous. Inspired by four motivating examples including simulation fro…
On Consistency of Signature Using Lasso
Xin Guo, Binnan Wang, Ruixun Zhang +1
Signatures are iterated path integrals of continuous and discrete-time processes, and their universal nonlinearity linearizes the problem of feature selection in time series data a…