5 papers
Discrete signature and its application to finance
Takanori Adachi, Yusuke Naritomi
Signatures, one of the key concepts of rough path theory, have recently gained prominence as a means to find appropriate feature sets in machine learning systems. In this paper, in…
Generalized Filtrations and Its Application to Binomial Asset Pricing Models
Takanori Adachi, Katsushi Nakajima, Yoshihiro Ryu
We introduce generalized filtration with which we can represent situations such as some agents forget information at some specific time. The filtration is defined as a functor to a…
A Binomial Asset Pricing Model in a Categorical Setting
Takanori Adachi, Katsushi Nakajima, Yoshihiro Ryu
Adachi and Ryu introduced a category Prob of probability spaces whose objects are all probability spaces and whose arrows correspond to measurable functions satisfying an absolutel…
Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study
Tetsuya Takaishi, Takanori Adachi
This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst expo…
Monetary value measures in a category of probability spaces
Takanori Adachi, Yoshihiro Ryu
We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \c{hi} to the category of pr…