Preprints and papers

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)

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
Accepted to appear in IEEE ICASSP 2021 (6 Jun 2021)

Patrick Kidger and Terry Lyons
Signatory: differentiable computations of the signature and logsignature transforms, on both CPU and GPU
Accepted to appear in International Conference on Learning Representations (May 2021)

Maud Lemercier, Cristopher Salvi, Theodoros Damoulas, Edwin V Bonilla and Terry Lyons
Distribution Regression for Sequential Data
Accepted to appear in AISTATS 2021 (Apr 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)

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
arXiv:2102.07904 (16 Feb 2021)

Samuel Cohen and Tanut Treetanthiploet
Correlated Bandits for Dynamic Pricing via the ARC algorithm
arXiv:2102.04263 (8 Feb 2021)

Patrick Kidger, James Foster, Xuechen Li, Harald Oberhauser and Terry Lyons
Neural SDEs as Infinite-Dimensional GANs
arXiv:2102.03657 (6 Feb 2021)

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

2020 2019