Preprints and papers

Preprints and papers

Patrick Kidger, James Foster, Xuechen Li, Harald Oberhauser and Terry Lyons
Neural SDEs as Infinite-Dimensional GANs
International Conference on Machine Learning (July 2021)

James MorrillCristopher SalviPatrick KidgerJames Foster and Terry Lyons
Neural Rough Differential Equations for Long Time Series
International Conference on Machine Learning (July 2021)

Patrick Kidger, Ricky TQ Chen, Terry Lyons
"Hey, that's not an ODE": Faster ODE Adjoints via Seminorms
International Conference on Machine Learning (July 2021)

Maud Lemercier, Cristopher Salvi, Thomas Cass, Edwin V. Bonilla, Theodoros Damoulas and Terry Lyons
SigGPDE: Scaling Sparse Gaussian Processes on Sequential Data
International Conference on Machine Learning (July 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
Proceedings of the International Conference on Acoustics, Speech, and Signal Processing (ICASSP) 2021 (6 Jun 2021)   ORA

Yue Wu
The random periodic solution of a stochastic differential equation with a monotone drift and its numerical approximation
arXiv:2105.13477 (27 May 2021)

Yue Wu
A randomised trapezoidal quadrature
International Journal of Computer Mathematics (21 May 2021)   DOI

Yue Wu, Hao Ni, Terry Lyons and Robin L Hudson
Signature features with the visibility transformation
2020 25th International Conference on Pattern Recognition (ICPR), 4665-4672 (5 May 2021) DOI   ORA

Patrick Kidger and Terry Lyons
Signatory: differentiable computations of the signature and logsignature transforms, on both CPU and GPU
International Conference on Learning Representations 2021 (3 May 2021)   ORA

Hao Ni, Xin Dong, Jinsong Zheng and Guangxi Yu
An Introduction to Machine Learning in Quantitative Finance
World Scientific Publishing (English version); Tsinghua University Press (Chinese version) (May 2021)

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
Sci Rep 11, 9237 (29 Apr 2021)   DOI

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 and Karen Habermann
Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
arXiv:2102.10095 (19 Feb 2021)

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
Accepted 2021 IEEE CSR (international conference on cybersecurity and resilience) (16 Feb 2021)

Samuel Cohen and Tanut Treetanthiploet
Correlated Bandits for Dynamic Pricing via the ARC algorithm
arXiv:2102.04263 (8 Feb 2021)

Samuel Cohen, Christoph Reisinger and Sheng Wang
Detecting and repairing arbitrage in traded option prices
Applied Mathematical Finance, 27(5), pp. 345–373 (8 Feb 2021)   DOI   ORA

Harald Oberhauser and Alexander Schell
Nonlinear Independent Component Analysis for Continuous-Time Signals
arXiv:2102.02876 (4 Feb 2021)

Dmitry Beliaev, Terry Lyons and Vlad Margarint
Continuity in κ in SLEκ theory using a constructive method and rough path theory
Annales de l'Institut Henri Poincaré,) Probabilités et Statistiques, 57(1), pp. 455–468 (1 Feb 2021)   DOI   ORA

Thomas Cass and Nengli Lim
Skorohod and Rough Integration for Stochastic Differential Equations Driven by Volterra Processes
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 57(1), pp. 132-168 (Feb 2021)   DOI

Csaba Toth, Patric Bonnier and Harald Oberhauser
Seq2Tens: An Efficient Representation of Sequences by Low-Rank Tensor Projections
ICLR 2021 (12 Jan 2021)

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

2020    2019