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Machine Learning in Finance via Randomization
10. Juni 2022 @ 10:00 - 11:00
Friday, June 10th 2022 | 10:00 am (CET) | Room: N.2.35 | Josef Teichmann | Prof. at ETH Zürich
Abstract:
Randomized Signature or random feature selection are two instances of machine learning, where randomly chosen structures appear to be highly expressive. We analyze several aspects of the theory behind it, show that these structures have several theoretically attractive properties and introduce two classes of examples from finance (joint works with Christa Cuchiero, Lukas Gonon, Lyudmila Grigoryeva, Martin Larsson, and Juan-Pablo Ortega).
Bio:
Professor at ETH Zurich since 2009, Research Interests include Mathematical Finance, Machine Learning in Finance and Stochastic Analysis, Executive Secretary of the Bachelier Finance Society.
