相关论文: SigFormer: Signature Transformers for Deep Hedging

We investigate the use of path signatures in a machine learning context for hedging exotic derivatives under non-Markovian stochastic volatility models. In a deep learning setting, we use signatures as features in feedforward neural…

Modern deep learning for asset allocation typically separates forecasting from optimization. We argue this creates a fundamental mismatch where minimizing prediction errors fails to yield robust portfolios. We propose the Signature Informed…

The signature is an infinite graded sequence of statistics known to characterise a stream of data up to a negligible equivalence class. It is a transform which has previously been treated as a fixed feature transformation, on top of which a…

Mathematical models, calibrated to data, have become ubiquitous to make key decision processes in modern quantitative finance. In this work, we propose a novel framework for data-driven model selection by integrating a classical…

Multi-modal human action segmentation is a critical and challenging task with a wide range of applications. Nowadays, the majority of approaches concentrate on the fusion of dense signals (i.e., RGB, optical flow, and depth maps). However,…

Sequential and temporal data arise in many fields of research, such as quantitative finance, medicine, or computer vision. A novel approach for sequential learning, called the signature method and rooted in rough path theory, is considered.…

Predictive models play a crucial role in the financial industry, enabling risk prediction, fraud detection, and personalized recommendations, where slight changes in core model performance can result in billions of dollars in revenue or…

In recommender systems, most graph-based methods focus on positive user feedback, while overlooking the valuable negative feedback. Integrating both positive and negative feedback to form a signed graph can lead to a more comprehensive…

Signature is widely used in human daily lives, and serves as a supplementary characteristic for verifying human identity. However, there is rare work of verifying signature. In this paper, we propose a few deep learning architectures to…

Deep hedging uses recurrent neural networks to hedge financial products that cannot be fully hedged in incomplete markets. Previous work in this area focuses on minimizing some measure of quadratic hedging error by calculating pathwise…

Signature is an infinite graded sequence of statistics known to characterize geometric rough paths, which includes the paths with bounded variation. This object has been studied successfully for machine learning with mostly applications in…

Building on the functional-analytic framework of operator-valued kernels and un-truncated signature kernels, we propose a scalable, provably convergent signature-based algorithm for a broad class of high-dimensional, path-dependent hedging…

Inferring topological and geometrical information from data can offer an alternative perspective on machine learning problems. Methods from topological data analysis, e.g., persistent homology, enable us to obtain such information,…

Understanding protein dynamics are essential for deciphering protein functional mechanisms and developing molecular therapies. However, the complex high-dimensional dynamics and interatomic interactions of biological processes pose…

High-frequency quantitative trading strategies have long been of significant interest in futures market. While advanced statistical arbitrage and deep learning enhance high-frequency data processing, they diminish opportunities for…

There is a growing trend to outsource the inference task of large transformer models to cloud servers. However, this poses a severe threat to users' private data as they are exposed to cloud servers after uploading. Although several works…

Many real-world problems can be naturally described by mathematical formulas. The task of finding formulas from a set of observed inputs and outputs is called symbolic regression. Recently, neural networks have been applied to symbolic…

Path signatures have been proposed as a powerful representation of paths that efficiently captures the path's analytic and geometric characteristics, having useful algebraic properties including fast concatenation of paths through tensor…

This paper investigates the application of Transformer-based neural networks to stock price forecasting, with a special focus on the intersection of machine learning techniques and financial market analysis. The evolution of Transformer…

Derivatives, as a critical class of financial instruments, isolate and trade the price attributes of risk assets such as stocks, commodities, and indices, aiding risk management and enhancing market efficiency. However, traditional hedging…