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Mathematical models, calibrated to data, have become ubiquitous to make key decision processes in modern quantitative finance.
Learning spatial-semantic context with fully convolutional recurrent network for online handwritten chinese text recognition
Zecheng Xie, Zenghui Sun, Lianwen Jin, Hao Ni, and Terry Lyons. 2017 · 1917
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Prices of state-contingent claims implicit in option prices
Douglas T Breeden and Robert H Litzenberger. 1978 · 1978
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Differential equations driven by rough signals
Terry J Lyons. 1998 · 1998
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Differential equations driven by rough paths
Terry J Lyons, Michael Caruana, and Thierry Lévy. 2007 · 2007
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Uniqueness for the signature of a path of bounded variation and the reduced path group
Ben Hambly and Terry Lyons. 2010 · 2010
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Brownian motion and stochastic calculus. Vol. Vol. 113
Ioannis Karatzas and Steven Shreve. 2012 · 2012
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Extracting information from the signature of a financial data stream
Lajos Gergely Gyurkó, Terry Lyons, Mark Kontkowski, and Jonathan Field. 2013 · 2013
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Auto-encoding variational bayes
Diederik P Kingma and Max Welling. 2013 · 2013
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Learning from the past, predicting the statistics for the future, learning an evolving system
Daniel Levin, Terry Lyons, and Hao Ni. 2013 · 2013
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The nature of statistical learning theory
Vladimir Vapnik. 2013 · 2013
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Generative adversarial nets. In Advances in neural information processing systems . 2672–2680
Ian Goodfellow, Jean Pouget-Abadie, Mehdi Mirza, Bing Xu, David Warde-Farley, Sherjil Ozair, Aaron Courville, and Yoshua Bengio. 2014 · 2014
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A feature set for streams and an application to high-frequency financial tick data. In Proceedings of the 2014 International Conference on Big Data Science and Computing . 1–8
Terry Lyons, Hao Ni, and Harald Oberhauser. 2014 · 2014
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Chinese character-level writer identification using path signature feature, DropStroke and deep CNN. In 2015 13th International Conference on Document Analysis and Recognition (ICDAR) . IEEE, 546–550
Weixin Yang, Lianwen Jin, and Manfei Liu. 2015 · 2015
Cited alongside, same era.
The signature of a rough path: uniqueness
Horatio Boedihardjo, Xi Geng, Terry Lyons, and Danyu Yang. 2016 · 2016
Cited alongside, same era.
Characteristic functions of measures on geometric rough paths
Ilya Chevyrev, Terry Lyons, et al · 2016
Cited alongside, same era.
Discretely sampled signals and the rough Hoff process
Guy Flint, Ben Hambly, and Terry Lyons. 2016 · 2016
Cited alongside, same era.
Kernels for sequentially ordered data
Franz J Király and Harald Oberhauser. 2016 · 2016
Cited alongside, same era.
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Beatrice Acciaio, Julio Backhoff-Veraguas, and Anastasiia Zalashko. 2019 · 2019
Later among the works it cites.
Embedding and learning with signatures
Adeline Fermanian. 2019 · 2019
Later among the works it cites.
Deep Signature Transforms. In Advances in Neural Information Processing Systems . 3099–3109
Patrick Kidger, Patric Bonnier, Imanol Perez Arribas, Cristopher Salvi, and Terry Lyons. 2019 · 2019
Later among the works it cites.
Nonparametric pricing and hedging of exotic derivatives
Terry Lyons, Sina Nejad, and Imanol Perez Arribas. 2019 · 2019
Later among the works it cites.
Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning
Álvaro Cartea, Imanol Perez Arribas, and Leandro Sánchez-Betancourt. 2020 · 2020
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Deepwriterid: An end-to-end online text-independent writer identification system
Weixin Yang, Lianwen Jin, and Manfei Liu. 2016a · 2016
Cited alongside, same era.
Rotation-free online handwritten character recognition using dyadic path signature features, hanging normalization, and deep neural network. In 2016 23rd International Conference on Pattern Recognition (ICPR) . IEEE, 4083–4088
Weixin Yang, Lianwen Jin, Hao Ni, and Terry Lyons. 2016b · 2016
Cited alongside, same era.
DropSample: A new training method to enhance deep convolutional neural networks for large-scale unconstrained handwritten Chinese character recognition
Weixin Yang, Lianwen Jin, Dacheng Tao, Zecheng Xie, and Ziyong Feng. 2016c · 2016
Cited alongside, same era.
Lpsnet: A novel log path signature feature based hand gesture recognition framework. In Proceedings of the IEEE International Conference on Computer Vision Workshops . 631–639
Chenyang Li, Xin Zhang, and Lianwen Jin. 2017 · 2017
Cited alongside, same era.
Leveraging the path signature for skeleton-based human action recognition
Weixin Yang, Terry Lyons, Hao Ni, Cordelia Schmid, Lianwen Jin, and Jiawei Chang. 2017 · 2017
Cited alongside, same era.
Signature moments to characterize laws of stochastic processes
Ilya Chevyrev and Harald Oberhauser. 2018 · 2018
Cited alongside, same era.
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A generative adversarial network approach to calibration of local stochastic volatility models
Christa Cuchiero, Wahid Khosrawi, and Josef Teichmann. 2020 · 2020
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Robust Pricing and Hedging with neural SDEs
M. Siska D. Szpruch L. Gierjatowicz P., Sabate-Vidales. 2020 · 2020
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Optimal execution with rough path signatures
Jasdeep Kalsi, Terry Lyons, and Imanol Perez Arribas. 2020 · 2020
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Patrick Kidger and Terry Lyons. 2020 · 2020
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Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
Terry Lyons, Sina Nejad, and Imanol Perez Arribas. 2020 · 2020
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Algorithm 1004: The iisignature library: Efficient calculation of iterated-integral signatures and log signatures
Jeremy F Reizenstein and Benjamin Graham. 2020 · 2020
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