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We present convincing empirical results on the application of Randomized Signature Methods for non-linear, non-parametric drift estimation for a multi-variate financial market.
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A generalised signature method for multivariate time series feature extraction
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Gyurkó, L.G., Lyons, T., Kontkowski, M., Field, J., 2013 · 2013
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In Defense of Portfolio Optimization: What If We Can Forecast?
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Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
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Non-parametric pricing and hedging of exotic derivatives
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A primer on the signature method in machine learning
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Deep learning for finance: deep portfolios
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A century of evidence on trend-following investing
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Applications of Signature Methods to Market Anomaly Detection
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Factor-based portfolio optimization
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Optimal stopping with signatures
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Volatility is (mostly) path-dependent
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