Preprints and papers

Cristopher Salvi, Maud Lemercier, Chong Liu, Blanka Hovarth, Theodoros Damoulas and Terry Lyons
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes
Accepted to appear in Advances in Neural Information Processing Systems (NeurIPS 2021) (6 Oct 2021)

Patrick Kidger, James Foster, Xuechen Li and Terry Lyons
Efficient and Accurate Gradients for Neural SDEs
Accepted to appear in Advances in Neural Information Processing Systems (NeurIPS 2021) (6 Oct 2021)

Hao Ni, Marc Sabate-Vidales, Magnus Wiese, Shujian Liao and Baoren Xiao
Sig-Wasserstein GANs for Time Series Generation
Accepted by 2nd ACM International Conference on AI in Finance 2021 (2021)

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), 2021, pp. 35-40 (6 Sep 2021)  DOI

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

Thomas Cass, Terry Lyons and Xingcheng Xu
General Signature Kernels
arXiv:2107.00447 (1 Jul 2021)

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

James Morrill, Cristopher Salvi,  Patrick Kidger, James Foster and Terry Lyons
Neural Rough Differential Equations for Long Time Series
International Conference on Machine Learning (ICML) 2021 (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 (ICML) 2021 (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 (ICML) 2021 (July 2021)

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

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
Risk.net (9 Jun 2021)   DOI

Bo Wang, Yue 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

Cristopher Salvi, Thomas Cass, James Foster, Terry Lyons and Weixin Yang
The Signature Kernel is the solution of a Goursat PDE
Accepted to appear in SIAM Journal on Mathematics of Data Science (SIMODS) (3 Jun 2021)

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 2021, pp. 1-13 (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 (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

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
Proceedings of The 24th International Conference on Artificial Intelligence and Statistics, vol. 130, pp. 3754-3762 (Apr 2021)

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)

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

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

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

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)

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