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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,051 papers · 148 categories

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19385675 · May 202619922001200920182026
48 results for signature moments

Study on martingale property and moment explosions in signature volatility models.

problem Analyzing the martingale property and moment explosions in signature volatility models.
method Fine analysis of the explosion time of a signature stochastic differential equation.
result The price process is a true martingale if and only if the order of the linear form is odd and a correlation parameter is negative.

It is shown that the signature of a manifold with a symplectic circle action having only isolated fixed points, equals the alternating sum of the Novikov numbers corresponding to the cohomology class of the generalized moment map. The same is true for more general fixed point sets.

1998-10-05abs ↗pdf ↗

Study local expansions of continuous-time processes using Ito signature properties.

problem Analyzing local expansions of continuous-time processes and their moments.
method Using the Ito signature, a basis of iterated integrals, to conduct expansions of the process' characteristic function.
result Explicit coefficients and stochastic representations for asymptotics as time shrinks or diverges.

Proposes a simple method to represent and manipulate concepts using polynomials and moment statistics.

problem Lack of a mathematical framework to define and operate on concepts.
method Characterizes concepts as zero sets of polynomials and uses moment statistics for representation; proposes a dictionary-based method to learn hierarchical structures.
result Signature of concepts can be used to discover common structures and recursively produce higher-level concepts.

We present a novel framework for kernel learning with sequential data of any kind, such as time series, sequences of graphs, or strings. Our approach is based on signature features which can be seen as an ordered variant of sample (cross-)moments; it allows to obtain a "sequentialized" version of any static kernel. The…

2016-01-29abs ↗pdf ↗

The paper develops methods for novelty detection on path space using signature-based statistics.

problem Novelty detection on path space as a hypothesis testing problem.
method Signature-based test statistics, transportation-cost inequalities, CVaR, one-class SVM algorithms.
result Established lower bounds on type-II\mathrm{II} error and general power bounds.

Novel framework synthesizes stochastic trajectories with anticipated structural breaks.

problem Synthesizing forward-looking, time-evolving stochastic trajectories with anticipated structural breaks.
method Anticipatory Neural Jump-Diffusion (ANJD) flow, AVNSG for dynamic spectral whitening.
result The framework effectively captures non-commutative moments and high-order stochastic texture.

Modeling intraday electricity prices with a Hawkes process.

problem Capturing the dynamics of intraday electricity prices, especially microstructure noise.
method 2D marked Hawkes process with increasing baseline intensity, providing analytic moments and signature plot.
result The model fits German intraday electricity data well and converges to a Brownian motion with increasing volatility.

We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent h(q)h(q) for all moment orders qq, not limited only to the edge values of h(q)h(q) describing in MFDFA scaling prope…

2013-09-21abs ↗pdf ↗

Paper characterizes DLN distribution, its properties, and estimation methods.

problem No specific problem stated, focuses on DLN distribution properties.
method Characterization of PDF, CDF, moments; generalization to N-dimensions; methods to handle double-exponential nature.
result Characterization of DLN distribution and its properties, including estimation methods.

The paper revisits expected signatures in semimartingale models, providing new formulae and simplifying complexity.

problem Computing expected signatures in semimartingale models.
method Revisits and provides new formulae for computing expected signatures in a general semimartingale setting.
result Log-transform of expected signatures simplifies complexity, leading to signature cumulants.

A well-known property of the signature of closed oriented 4n-dimensional manifolds is Novikov additivity, which states that if a manifold is split into two manifolds with boundary along an oriented smooth hypersurface, then the signature of the original manifold equals the sum of the signatures of the resulting manifol…

2009-11-19abs ↗pdf ↗

New findings on mesh group-planes validate Signature-inverse Theorem under specific conditions.

problem Invalidity of existing inverse theorems for mesh group-planes.
method Classification of three and five point meshes, analysis of joint invariant signatures.
result Valid conditions for the Signature-inverse Theorem in mesh group-planes.

Introduces flat discrete signatures for financial data analysis.

problem Representing financial data for machine learning without continuous transformation.
method Introduced flat discrete signatures and discrete signatures, generalizing flat discrete signatures.
result Flat discrete signatures can represent quadratic variation relevant in finance.

This is a sequel to the paper "The signature package on Witt spaces, I. Index classes" by the same authors. In the first part we investigated, via a parametrix construction, the regularity properties of the signature operator on a stratified Witt pseudomanifold, proving, in particular, that one can define a K-homology …

2009-11-04abs ↗pdf ↗

The paper examines the consistency of Lasso regression applied to signature analysis of time series data.

problem Consistency of Lasso regression in signature analysis of time series data.
method The paper studies the consistency of Lasso regression applied to signature analysis of time series data, both theoretically and numerically.
result The Lasso regression is consistent both asymptotically and in finite sample for certain types of time series and processes.

Study signatures of torus links and their cores using Neumann's equivariant signatures and Hirzebruch's formula.

problem Computing signatures of torus links and their cores.
method Use Neumann's equivariant signatures and rewrite Hirzebruch's formula for torus links (without cores) in terms of integral points in a parallelogram.
result Rewritten Hirzebruch's formula for torus links with cores using integral points in a parallelogram.

This paper extends the C*-signature to non-Witt spaces using noncommutative geometric methods.

problem Extending the signature to non-Witt spaces with noncommutative geometric methods.
method Noncommutative geometric methods, combinatorial framework, and comparison with analytical signature.
result Constructing the C*-signature on non-Witt spaces.

Paper generalizes path signature using fractional calculus for improved machine learning.

problem Improving path signature for machine learning applications.
method Introduces two new signatures inspired by fractional calculus and machine learning considerations.
result Significant accuracy improvements in handwritten digit recognition.

We present a novel method for extracting cancer signatures by applying statistical risk models (http://ssrn.com/abstract=2732453) from quantitative finance to cancer genome data. Using 1389 whole genome sequenced samples from 14 cancers, we identify an "overall" mode of somatic mutational noise. We give a prescription …

2016-04-29abs ↗pdf ↗

Paper introduces branched signature model for efficient computation and data-driven applications.

problem Efficient computation and data-driven modeling of branched rough paths.
method Develops a universal approximation theorem and constructs an extension map to realize branched signatures.
result Explicit construction of branched signatures via an extension map for efficient computation.

Path signatures improve hedging of exotic derivatives in non-Markovian models.

problem Hedging exotic derivatives under non-Markovian stochastic volatility models.
method Investigates path signatures in deep and shallow learning contexts, comparing neural networks and regression approaches.
result Path signatures outperform LSTM in most cases and yield more accurate results in hedging.

The study explains why signature methods work in commodity futures term structure classification.

problem Lack of interpretability in signature methods for term structure classification.
method Introducing signature perturbations to explain the success of signature-based classification.
result The volatility of the convenience yield is the major discriminant for commodity markets classification.

For a normal covering over a closed oriented topological manifold we give a proof of the L2-signature theorem with twisted coefficients, using Lipschitz structures and the Lipschitz signature operator introduced by Teleman. We also prove that the L-theory isomorphism conjecture as well as the C^*_max-version of the Bau…

2002-09-13abs ↗pdf ↗