research
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06/27/2023
Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures
In this work we present a non-parametric online market regime detection ...
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05/25/2023
Non-adversarial training of Neural SDEs with signature kernel scores
Neural SDEs are continuous-time generative models for sequential data. S...
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10/22/2021
Clustering Market Regimes using the Wasserstein Distance
The problem of rapid and automated detection of distinct market regimes ...
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02/03/2021
