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A feature set for streams and an application to high-frequency financial tick data
7 references·2 citing·31 second hop
A feature set for streams and an application to high-frequency financial tick data (2014)A feature set for streams and an applicat…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)UNIQUENESS FOR THE SIGNATURE …A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…The Kelly Criterion and the Stock Market (1992)The Kelly Criterion and the S…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …Sig-SDEs model for quantitative finance (2020)Sig-SDEs model for quantitati…Discretely sampled signals and the rough Hoff process (2016)Discretely sampled signals an…The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Long memory in continuous‐time stochastic volatility models (1998)Multidimensional Stochastic Processes as Rough Paths (2010)Volatility Is Rough (2018)Non-parametric Pricing and Hedging of Exotic Derivatives (2020)Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere. (1975)Capital growth with security (2003)Chapter 9 The Kelly Criterion in Blackjack Sports Betting, and the Stock Market (2006)Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019)Prices of State-Contingent Claims Implicit in Option Prices (1978)Differential equations driven by rough signals (1998)System Control and Rough Paths (2002)Rough paths, Signatures and the modelling of functions on streams (2014)Physical Brownian motion in a magnetic field as a rough path (2015)The signature of a rough path: Uniqueness (2016)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Smoothness of the density for solutions to Gaussian rough differential equations (2014)Stochastic Network Programming for Financial Planning Problems (1992)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Portfolio Choice Problems (2010)Uniqueness for the signature of a path of bounded variation and the reduced path group (2010)A Wong-Zakai theorem for stochastic PDEs (2015)
this work references cited by second hop

References

  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 2007Differential Equations Driven by Rough Paths381 cited
  • 2007Differential Equations Driven by Rough Paths237 cited
  • 2006UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP135 cited
  • 1992The Kelly Criterion and the Stock Market88 cited

Cited by

  • 2016Discretely sampled signals and the rough Hoff process40 cited
  • 2020Sig-SDEs model for quantitative finance28 cited

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