Preprints and papers | 2020

Preprints and papers | 2020


Francesco Cosentino, Harald Oberhauser and Alessandro Abate
A randomized algorithm to reduce the support of discrete measures
Advances in Neural Information Processing Systems (NeurIPS 2020), vol. 33, pp. 15100-15110 (12 Dec 2020)   ORA


Patrick Kidger, James Morrill, James Foster and Terry Lyons
Neural controlled differential equations for irregular time series
Advances in Neural Information Processing Systems (NeurIPS 2020), vol. 33, pp. 6696-6707 (10 Dec 2020)


Csaba Toth and Harald Oberhauser
Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances
International Conference on Machine Learning (ICML) 2020, vol. 119,  pp. 9548–60 (21 Nov 2020)   ORA


Andrey Kormilitzin, Nemanja Vaci, Qiang Liu, Hao Ni, Goran Nenadic and Alejo Nevado-Holgado
An efficient representation of chronological events in medical texts
Proceedings of the 11th International Workshop on Health Text Mining and Information Analysis, pp. 97–103 (20 Nov 2020)   DOI


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
International Speech Communication Association 2020, pp. 437–41 (16 Nov 2020)   DOI   ORA


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)   DOI   ORA


Patric Bonnier and Harald Oberhauser
Signature Cumulants, Ordered Partitions, and Independence of Stochastic Processes
Bernoulli, 26(4), pp. 2727-2757 (Nov 2020)   DOI   ORA


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, vol. 53(1), pp. 285-299 (28 Oct 2020)   DOI


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


James H Morrill, Andrey Kormilitzin, Alejo Nevado-Holgado, Sumanth Swaminathan, Samuel D Howison and Terry Lyons
Utilisation of the Signature Method to Identify the Early Onset of Sepsis From Multivariate Physiological Time Series in Critical Care Monitoring
Critical Care Monitoring, Critical Care Medicine, vol. 48(10 ), pp. e976-e981 (3 Oct 2020)   DOI   ORA


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, pp. 134-144 (29 Sep 2020)   DOI


Yue Wu and Nick Polydorides
A Multilevel Monte Carlo Estimator for Matrix Multiplication
SIAM Journal on Scientific Computing, 42(5), pp. A2731–A2749 (15 Sep 2020)    DOI   ORA


Andrew L Allan and Samuel N Cohen
Pathwise Stochastic Control with Applications to Robust Filtering
Annals of Applied Probability 2020, 30(5), pp. 2274-2310 (15 Sep 2020)   DOI   ORA


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


Patrick Kidger and Terry Lyons
Universal Approximation with Deep Narrow Networks
Proceedings of Thirty Third Conference on Learning Theory (PMLR), vol. 125, pp. 2306–2327 (6 Aug 2020)   ORA


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)


Yue Wu, Terry Lyons and Kate Saunders
Deriving information from missing data: implications for mood prediction
arXiv:2006.15030 (8 Jul 2020)


Wei Liu, Xuerong Mao, Jingwen Tang and Yue Wu
Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
Applied Numerical Mathematics, vol. 153, pp. 66-81 (Jul 2020)   DOI   ORA


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


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)


Samuel N Cohen
Uncertainty and filtering of hidden Markov models in discrete time
Probability, Uncertainty and Quantitative Risk, vol. 5(4) (3 Jun 2020)   DOI   ORA


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


Robert Lung and Yue Wu and Dimitris Kamilis and Nick Polydorides
A sketched finite element method for elliptic models
Computer Methods in Applied Mechanics and Engineering, vol. 364(1) (1 Jun 2020)   DOI   ORA


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, pp. 215-228 (Jun 2020)   DOI


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), pp. 395-398 (22 May 2020)   DOI


Patric Bonnier, Chong Liu and Harald Oberhauser
Adapted topologies and higher rank signatures
arXiv:2005.08897 (18 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, pp. 1393-1421 (4 May 2020)   DOI   ORA


Jasdeep Kalsi, Terry Lyons and Imanol Pérez Arribas
Optimal execution with rough path signatures
SIAM Journal on Financial Mathematics 11, no. 2, pp. 470-493 (27 Apr 2020)   DOI   ORA


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)   DOI


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


James Morrill, Andrey Kormilitzin, Alejo Nevado-Holgado, Sumanth Swaminathan, Sam Howison and Terry Lyons
The signature-based model for early detection of sepsis from electronic health records in the intensive care unit
2019 Computing in Cardiology (CinC) (24 Feb 2020)   DOI   ORA


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, pp. 583-597 (18 Feb 2020)   DOI   ORA


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