Preprints and papers

Preprints and papers

Thomas Cochrane, Peter Foster, Varun Chhabra, Maud Lemercier, Cristopher Salvi and Terry Lyons
SK-Tree: a systematic malware detection algorithm on streaming trees via the signature kernel
arXiv:2102.07904 (16 Feb 2021)

Bo WangYue Wu, Nemanja Vaci, Maria Liakata, Terry Lyons and Kate Saunders
Modelling Paralinguistic Properties in Conversational Speech to Detect Bipolar Disorder and Borderline Personality Disorder
Accepted to appear in IEEE ICASSP 2021 (6 Jun 2021)

Patrick Kidger and Terry Lyons
Signatory: differentiable computations of the signature and logsignature transforms, on both CPU and GPU
Accepted to appear in International Conference on Learning Representations (May 2021)

Maud Lemercier, Cristopher Salvi, Theodoros Damoulas, Edwin V Bonilla and Terry Lyons
Distribution Regression for Sequential Data
Accepted to appear in AISTATS 2021 (Apr 2021)

  James Foster, Terry Lyons and Harald Oberhauser
The shifted ODE method for underdamped Langevin MCMC
arXiv:2101.03446 (10 Jan 2021)

 James Morrill, Patrick Kidger, Cristopher Salvi, James Foster and Terry Lyons
Neural CDEs for Long Time Series via the Log-ODE Method
Machine Learning and the Physical Sciences, NeurIPS workshop (Dec 2020)

 Patrick Kidger, Ricky TQ Chen, Terry Lyons
"Hey, that's not an ODE": Faster ODE Adjoints with 12 Lines of Code
Machine Learning and the Physical Sciences, NeurIPS workshop (Dec 2020)

 Patrick Kidger, James Foster, Xuechen Li, Harald Oberhauser and Terry Lyons
Neural SDEs Made Easy: SDEs are Infinite-Dimensional GANs
Machine Learning and the Physical Sciences, NeurIPS workshop (Dec 2020)

Patrick Kidger, James Morrill, James Foster and Terry Lyons
Neural controlled differential equations for irregular time series
Advances in Neural Information Processing Systems 33 (Dec 2020)

 Yue Wu
A randomised trapezoidal quadrature
arXiv:2011.15086 (2 Dec 2020)

Thomas Cass, James Foster, Terry Lyons, Cristopher Salvi and Weixin Yang
Computing the untruncated signature kernel as the solution of a Goursat problem
arXiv:2006.14794 (25 Nov 2020)

 John Pougue Biyong, Bo Wang, Terry Lyons, Alejo J Nevado-Holgado
Information Extraction from Swedish Medical Prescriptions with Sig-Transformer Encoder
Clinical NLP 2020 (Nov 2020)

 Horatio Boedihardjo, Joscha Diehl, Marc Mezzarobba and Hao Ni
The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
Bulletin of the London Mathematical Society, 1-15 (28 Oct 2020)

 Samuel N Cohen and Tanut Treetanthiploet
Asymptotic Randomised Control with applications to bandits
arXiv:2010.07252 (14 Oct 2020)

Bo Wang, Yue Wu, Niall Taylor, Terry Lyons, Maria Liakata, Alejo J Nevado-Holgado and Kate E A Saunders
Learning to Detect Bipolar Disorder and Borderline Personality Disorder with Language and Speech in Non-Clinical Interviews
Interspeech 2020 (Oct 2020)

Xin Zhang, Jiale Cheng, Hao Ni, Chenyang Li, Xiangmin Xu, Zhengwang Wu, Li Wang, Weili Lin, Dinggang Shen and Gang Li
Infant Cognitive Scores Prediction With Multi-stream Attention-based Temporal Path Signature Features
Medical Image Computing and Computer Assisted Intervention – MICCAI 2020, 134-144 (Sep 2020)

Samuel N Cohen, Christoph Reisinger and Sheng Wang
Detecting and repairing arbitrage in traded option prices
Accepted to appear in Applied Mathematical Finance (21 Aug 2020)

Adam Mahdi, Piotr Blaszczyk, Pawel Dlotko, Dario Salvi, Tak-Shing T. Chan, John Harvey, Davide Gurnari, Yue Wu, Ahmad Farhat, Niklas Hellmer, Alexander E. Zarebski, Bernie Hogan and Lionel Tarassenko
OxCOVID19 Database: a multimodal data repository for better understanding the global impact of COVID-19 20177147v1 (18 Aug 2020)

 Samuel N Cohen and Tanut Treetanthiploet
Gittins' theorem under uncertainty
arXiv:1907.05689 (12 Aug 2020)

Thomas Cass and Nengli Lim
Skorohod and Rough Integration for Stochastic Differential Equations Driven by Volterra Processes
Accepted to appear in Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 

 John Armstrong, Damiano Brigo, Thomas Cass and Emilio Rossi-Ferrucci
Non-Geometric Rough Paths on Manifolds
arXiv:2007.06970 (14 Jul 2020)

 John Armstrong, Claudio Bellani, Damiano Brigo and Thomas Cass
Option pricing models without probability: a rough paths approach
arXiv:1808.09378 (8 Jul 2020)

 Csaba Toth and Harald Oberhauser
Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances
arXiv:1906.08215 (6 Jul 2020)

 Yue Wu, Terry Lyons and Kate Saunders
Deriving information from missing data: implications for mood prediction
arXiv:2006.15030 (2 Jul 2020)

Patrick Kidger and Terry Lyons
Universal Approximation with Deep Narrow Networks
Proceedings of Thirty Third Conference on Learning Theory, PMLR (Jul 2020)

Sebastian Riedel and Yue Wu
Semi-implicit Taylor schemes for stiff rough differential equations
arXiv:2006.13689 (24 Jun 2020)

Maud LeMercier, Cristopher Salvi, Theodoros Damoulas, Edwin V Bonilla and Terry Lyons
Distribution Regression for Continuous-Time Processes via the Expected Signature
arXiv:2006.05805 (22 Jun 2020)

Hans Bühler, Blanka Horvath, Terry Lyons, Imanol Pérez Arribas and Ben Wood
A Data-driven Market Simulator for Small Data Environments
arXiv:2006.14498 (21 Jun 2020)

Csaba Toth, Patric Bonnier and Harald Oberhauser
Seq2Tens: An Efficient Representation of Sequences by Low-Rank Tensor Projections
arXiv:2006.07027 (12 Jun 2020)

Hao Ni, Lukasz Szpruch, Magnus Wiese, Shujian Liao and Baoren Xiao
Conditional Sig-Wasserstein GANs for Time Series Generation
arXiv:2006.05421 (9 Jun 2020)

Thomas Cochrane, Peter Foster, Terry Lyons and Imanol Pérez Arribas
Anomaly detection on streamed data
arXiv:2006.03487 (5 Jun 2020)

Imanol Pérez Arribas, Cristopher Salvi and Lukasz Szpruch
Sig-SDEs model for quantitative finance
arXiv:2006.00218 (3 Jun 2020)

Francesco Cosentino, Harald Oberhauser and Alessandro Abate
A Randomized Algorithm to Reduce the Support of Discrete Measures
arXiv:2006.01757 (2 Jun 2020)

Francesco Cosentino, Harald Oberhauser and Alessandro Abate
Acceleration of Descent-based Optimization Algorithms via Carathéodory’s Theorem
arXiv:2006.01819 (2 Jun 2020)

James Morrill, Adeline Fermanian, Patrick Kidger and Terry Lyons
A Generalised Signature Method for Time Series
arXiv:2006.00873 (1 Jun 2020)

Guang Yang, Jun Chen, Zhifan Gao, Shuo Li, Hao Ni, Elsa Angelini, Tom Wong, Raad Mohiaddin, Eva Nyktaria, Ricardo Wage, Lei Xu, Yanping Zhang, Xiuquan Du, Heye Zhang, David Firmin and Jennifer Keegan
Simultaneous left atrium anatomy and scar segmentations via deep learning in multiview information with attention
Future Generation Computer Systems, vol. 107, 215-228 (Jun 2020)

Patrick Kidger, James Morrill and Terry Lyons
Generalised Interpretable Shapelets for Irregular Time Series
arXiv:2005.13948 (29 May 2020)

Xin Zhang, Xinyao Ding, Zhengwang Wu, Jing Xia, Hao Ni, Xiangmin Xu, Lufan Liao, Li Wang and Gang Li
Siamese Verification Framework for Autism Identification During Infancy Using Cortical Path Signature Features
Proceedings of the 2020 IEEE 17th International Symposium on Biomedical Imaging (ISBI), 395-398 (22 May 2020)

James Foster, Terry Lyons and Harald Oberhauser
An optimal polynomial approximation of Brownian motion
SIAM Journal on Numerical Analysis, vol. 58, no. 3, 1393-1421 (20 May 2020)

Patric Bonnier, Chong Liu and Harald Oberhauser
Adapted topologies and higher rank signatures
arXiv:2005.08897 (18 May 2020)

 Yue Wu and Nick Polydorides
A Multilevel Monte Carlo Estimator for Matrix Multiplication
arXiv:1904.00429 (29 Apr 2020)

Álvaro Cartea, Imanol Pérez Arribas and Leandro Sánchez-Betancourt
Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning
ssrn.3562251 (20 Apr 2020)

Yue Wu, Hao Ni, Terry Lyons and Robin L Hudson
Signature features with the visibility transformation
arXiv:2004.04006 (16 Apr 2020)

 Thomas Cass, Goncalo dos Reis and William Salkeld
Rough functional quantization and the support of McKean-Vlasov equations
arXiv:1911.01992 (4 Mar 2020)

Terry Lyons, Sina Nejad and Imanol Pérez Arribas
Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
Applied Mathematical Finance 26, no. 6, 583-597 (25 Feb 2020)

Patric Bonnier, Patrick Kidger, Imanol Pérez Arribas, Cristopher Salvi and Terry Lyons
Deep Signature Transforms
Advances in Neural Information Processing Systems 32 (Dec 2019)

Paul Moore, Terry Lyons and John Gallacher
Using path signatures to predict a diagnosis of Alzheimer’s disease

PLoS ONE 14(9): e0222212 (19 Sep 2019)

Bo Wang, Maria Liakata, Hao Ni, Terry Lyons, Alejo Nevado-Holgado and Kate Saunders
A Path Signature Approach for Speech Emotion Recognition
Interspeech (Sep 2019)

Patric Bonnier and Harald Oberhauser
Signature Cumulants, Ordered Partitions, and Independence of Stochastic Processes
arXiv:1908.06496 (18 Aug 2019)

 Samuel N Cohen, Martin N. A. Tegnér and Johannes Wiesel
Bounding quantiles of Wasserstein distance between true and empirical measure
arXiv:1907.02006 (3 Jul 2019)

 Andrew L Allan and Samuel N Cohen
Pathwise Stochastic Control with Applications to Robust Filtering
Annals of Applied Probability 2020, 30(5), 2274-2310 (12 Jun 2019)

 Thomas Cass, Dan Crisan, Peter Dobson and Michela Ottobre
Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
arXiv:1805.01350 (2 Jun 2019)

Jasdeep Kalsi, Terry Lyons and Imanol Pérez Arribas
Optimal execution with rough path signatures
SIAM Journal on Financial Mathematics 11, no. 2, 470-493 (2 May 2019)

Terry Lyons, Sina Nejad and Imanol Pérez Arribas
Nonparametric pricing and hedging of exotic derivatives
arXiv:1905.00711 (2 May 2019)

Yi Chen, Jing Dong and Hao Ni
ε-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
Accepted to appear in Mathematics of Operations Research (21 Feb 2019)

Paul Moore, Terry Lyons and John Gallacher
Random forest prediction of Alzheimer’s disease using pairwise selection from time series data
Alzheimer’s Disease Neuroimaging Initiative
PLoS ONE 14(2): e0211558 (14 Feb 2019)

Samuel N Cohen, Timo Henckel, Gordon D Menzies, Johannes Muhle-Karbe and Daniel J Zizzo
Switching Cost Models as Hypothesis Tests
Economics Letters, vol. 175, 32-35 (Feb 2019)

Andrew L Allan and Samuel N Cohen
Parameter Uncertainty in the Kalman-Bucy Filter
SIAM Journal on Control and Optimization, 57(3), 1646–1671 (2019)