4 papers
Diverse Approaches to Optimal Execution Schedule Generation
Robert de Witt, Mikko S. Pakkanen
We present the first application of MAP-Elites, a quality-diversity algorithm, to trade execution. Rather than searching for a single optimal policy, MAP-Elites generates a diverse…
A GMM approach to estimate the roughness of stochastic volatility
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen +1
We develop a GMM approach for estimation of log-normal stochastic volatility models driven by a fractional Brownian motion with unrestricted Hurst exponent. We show that a paramete…
Wasserstein error estimates between telegraph processes and Brownian motion
Gerardo Barrera, Jani Lukkarinen, Mikko S. Pakkanen
We provide non-asymptotic error bounds in the path Wasserstein distance with quadratic integral cost between suitable functionals of the telegraph process and the corresponding fun…
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…