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stat.ML2023
Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures
Zacharia Issa, Blanka Horvath
In this work we present a non-parametric online market regime detection method for multidimensional data structures using a path-wise two-sample test derived from a maximum mean di…
stat.ML2023★ 1 cited
Non-adversarial training of Neural SDEs with signature kernel scores
Zacharia Issa, Blanka Horvath, Maud Lemercier +1
Neural SDEs are continuous-time generative models for sequential data. State-of-the-art performance for irregular time series generation has been previously obtained by training th…