no code implementations • 29 Aug 2023 • Owen Futter, Blanka Horvath, Magnus Wiese
We achieve this by representing a trading strategy as a linear functional applied to the signature of a path (which we refer to as "Signature Trading" or "Sig-Trading").
no code implementations • 19 Jul 2023 • Magnus Wiese, Phillip Murray, Ralf Korn
We propose a novel generative model for multivariate discrete-time time series data.
no code implementations • 15 Jul 2022 • Phillip Murray, Ben Wood, Hans Buehler, Magnus Wiese, Mikko S. Pakkanen
We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states.
no code implementations • 28 Feb 2022 • Magnus Wiese, Phillip Murray
We develop a risk-neutral spot and equity option market simulator for a single underlying, under which the joint market process is a martingale.
no code implementations • 13 Dec 2021 • Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Phillip Murray, Lianjun Bai
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows.
1 code implementation • 1 Nov 2021 • Hao Ni, Lukasz Szpruch, Marc Sabate-Vidales, Baoren Xiao, Magnus Wiese, Shujian Liao
Synthetic data is an emerging technology that can significantly accelerate the development and deployment of AI machine learning pipelines.
2 code implementations • 9 Jun 2020 • Shujian Liao, Hao Ni, Lukasz Szpruch, Magnus Wiese, Marc Sabate-Vidales, Baoren Xiao
The signature of a path is a graded sequence of statistics that provides a universal description for a stream of data, and its expected value characterises the law of the time-series model.
1 code implementation • 5 Nov 2019 • Magnus Wiese, Lianjun Bai, Ben Wood, Hans Buehler
We construct realistic equity option market simulators based on generative adversarial networks (GANs).
no code implementations • 15 Jul 2019 • Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics.
no code implementations • 7 Jul 2019 • Magnus Wiese, Robert Knobloch, Ralf Korn
However, so far exact modeling or extrapolation of distributional properties such as the tail asymptotics generated by a generative network is not available.