5 citations · 9 across the 10 of their papers we have counts for
5 papers · 1 filter
Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
Owen Futter, Blanka Horvath, Magnus Wiese
In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies…
Robust Hedging GANs
Yannick Limmer, Blanka Horvath
The availability of deep hedging has opened new horizons for solving hedging problems under a large variety of realistic market conditions. At the same time, any model - be it a tr…
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…
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…
Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach
Blanka Horvath, Maud Lemercier, Chong Liu +2
Distribution Regression on path-space refers to the task of learning functions mapping the law of a stochastic process to a scalar target. The learning procedure based on the notio…