Preprints and papers | 2021

Preprints and papers | 2021

Adeline Fermanian, Pierre Marion, Jean-Philippe Vert and Gérard Biau
Framing RNN as a kernel method: A neural ODE approach
Advances in Neural Information Processing Systems 34 (NeurIPS 2021), pp. 3121-3134 (Dec 2021)

Patrick KidgerJames Foster, Xuechen Li and Terry Lyons
Efficient and Accurate Gradients for Neural SDEs
Advances in Neural Information Processing Systems 34 (NeurIPS 2021), pp. 18747-18761 (14 Dec 2021)   ORA

Thomas Cass, Bruce K Driver, Christian Litterer and Emilio Rossi Ferrucci
A combinatorial approach to geometric rough paths and their controlled paths
Journal of the London Mathematical Society (7 Dec 2021)

Shujian Liao, Hao Ni, Weixin Yang, Kevin Schlegel and Terry Lyons
Logsig-RNN: a novel network for robust and efficient skeleton-based action recognition
Proceedings of the 32nd British Machine Vision Conference (BMVC) 2021 (25 Nov 2021)   DOI   ORA

Patric Bonnier and Harald Oberhauser
Proper Scoring Rules, Gradients, Divergences, and Entropies for Paths and Time Series
arXiv:2111.06314 (11 Nov 2021)    DOI

Francesco Cosentino, Harald Oberhauser and Alessandro Abate
Markov Chain Approximations to Stochastic Differential Equations by Recombination on Lattice Trees
arXiv:2111.03497 (5 Nov 2021)   DOI

Cristopher SalviMaud Lemercier, Chong Liu, Blanka Hovarth, Theodoros Damoulas and Terry Lyons
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes
Advances in Neural Information Processing Systems 34 (NeurIPS 2021), pp. 16635-16647 (4 Nov 2021)   DOI   ORA

Hao Ni, Lukasz Szpruch, Marc Sabate-Vidales, Magnus Wiese, Shujian Liao and Baoren Xiao
Sig-Wasserstein GANs for Time Series Generation
Proceedings of the 2nd ACM International Conference on AI in Finance (1 Nov 2021)

Patrick Kidger and Cristian Garcia
Equinox: neural networks in JAX via callable PyTrees and filtered transformations
Accepted at the Differentiable Programming workshop at NeurIPS 2021 (30 Oct 2021)   DOI

Cristopher Salvi, Thomas Cass, James Foster, Terry Lyons and Weixin Yang
The Signature Kernel is the solution of a Goursat PDE
SIAM Journal on Mathematics of Data Science, vol. 3, no. 3, pp. 873–99 (9 Sep 2021)   DOI   ORA

Yu Li, Jiale Cheng, Xin Zhang, Ruiyan Fang, Lufan Liao, Xinyao Ding, Hao Ni, Xiangmin Xu, Zhengwang Wu, Dan Hu, Weili Lin, Li Wang, John Gilmore and Gang Li
Learning Infant Brain Developmental Connectivity for Cognitive Score Prediction
Machine Learning in Medical Imaging. MLMI 2021. Lecture Notes in Computer Science, vol. 12966 (6 Sep 2021)  DOI

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
2021 IEEE International Conference on Cyber Security and Resilience (CSR), pp. 35-40 (6 Sep 2021)  DOI   ORA

Yue Wu
The random periodic solution of a stochastic differential equation with a monotone drift and its numerical approximation
arXiv:2105.13477 (18 Aug 2021)   DOI

Adeline Fermanian
Functional linear regression with truncated signatures
arXiv:2006.08442 (27 Jul 2021)

Thomas Cass and Remy Messadene
Signature asymptotics, empirical processes, and optimal transport
arXiv:2107.11203 (23 Jul 2021)

Kevin Schlegel
When is there a Representer Theorem? Reflexive Banach spaces
Advances in Computational Mathematics 47, 54 (2021) (20 Jul 2021)   DOI

Joscha Diehl, Terry Lyons, Rosa Preiß and Jeremy Reizenstein
Areas of areas generate the shuffle algebra (8 Jul 2021)   DOI

James MorrillCristopher SalviPatrick KidgerJames Foster and Terry Lyons
Neural Rough Differential Equations for Long Time Series
Proceedings of the 38th International Conference on Machine Learning, PMLR, vol. 139, pp. 7829–38 (1 Jul 2021)  DOI   ORA

Patrick Kidger, James Foster, Xuechen Li, Harald Oberhauser and Terry Lyons
Neural SDEs as Infinite-Dimensional GANs
Proceedings of the 38th International Conference on Machine Learning, PMLR, vol. 139, pp. 5453-5463 (1 Jul 2021)   DOI   ORA

Patrick Kidger, Ricky TQ Chen, Terry Lyons
"Hey, that's not an ODE": Faster ODE Adjoints via Seminorms
Proceedings of the 38th International Conference on Machine Learning, PMLR, vol. 139, pp. 5443-5452 (1 Jul 2021)  DOI   ORA

Maud Lemercier, Cristopher Salvi, Thomas Cass, Edwin V Bonilla, Theodoros Damoulas and Terry Lyons
SigGPDE: Scaling Sparse Gaussian Processes on Sequential Data
Proceedings of the 38th International Conference on Machine Learning, PMLR, vol. 139, pp. 6233-6242 (1 Jul 2021)   DOI   ORA

Thomas CassTerry Lyons and Xingcheng Xu
General Signature Kernels
arXiv:2107.00447 (1 Jul 2021)   ORA

Harald Oberhauser and Alexander Schell
Nonlinear Independent Component Analysis for Continuous-Time Signals
arXiv:2102.02876 (26 Jun 2021)   DOI

James Morrill, Patrick Kidger, Lingyi Yang and Terry Lyons
Neural Controlled Differential Equations for Online Prediction Tasks
arXiv:2106.11028 (21 Jun 2021)   DOI

Thomas Cass and Jeffrey Pei
A Fubini type theorem for rough integration
arXiv:2106.06474 (11 Jun 2021)

Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
Generating financial markets with signatures (9 Jun 2021)   DOI   ORA

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
International Conference on Acoustics, Speech and Signal Processing (ICASSP), pp. 7243-7247 (6 Jun 2021)   DOI   ORA

Yue Wu
A randomised trapezoidal quadrature
International Journal of Computer Mathematics 2021, pp. 1-13 (21 May 2021)   DOI   ORA

Terry Lyons, Sina Nejad and Imanol Pérez Arribas
Non-parametric Pricing and Hedging of Exotic Derivatives
Applied Mathematical Finance, vol. 27(6), pp. 457-494 (18 May 2021)   DOI   ORA

Paul Gassiat, Harald Oberhauser and Christina Z Zou
A free boundary characterisation of the Root barrier for Markov processes
Probability Theory and Related Fields, vol.180, pp. 33–69 (6 May 2021)   DOI   ORA

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 (ICLR) 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)   DOI

Adeline Fermanian
Embedding and learning with signatures
Computational Statistics & Data Analysis, vol. 157, 107148 (May 2021)   DOI

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   ORA

Thomas Cass, Dan Crisan, Peter Dobson and Michela Ottobre
Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
Electronic Journal of Probability, vol. 26, pp. 1 - 72 (23 March 2021)

Maud Lemercier, Cristopher Salvi, Theodoros Damoulas, Edwin V Bonilla and Terry Lyons
Distribution Regression for Sequential Data
Proceedings of The 24th International Conference on Artificial Intelligence and Statistics, PMLR, vol. 130, pp. 3754–62 (18 Mar 2021)  DOI   ORA

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)

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

James Morrill, Adeline Fermanian, Patrick Kidger and Terry Lyons
A Generalised Signature Method for Time Series
arXiv:2006.00873 (6 Feb 2021)   DOI

Yi Chen, Jing Dong and Hao Ni
ε-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
Mathematics of Operations Research (3 Feb 2021)   DOI

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

James Foster, Terry Lyons and Harald Oberhauser
The shifted ODE method for underdamped Langevin MCMC
arXiv:2101.03446 (25 Jan 2021)   DOI

Csaba Toth, Patric Bonnier and Harald Oberhauser
Seq2Tens: An Efficient Representation of Sequences by Low-Rank Tensor Projections
International Conference on Learning Representations (ICLR) 2021 (12 Jan 2021)   DOI   ORA

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