Randomized signature methods in optimal portfolio selection
We present convincing empirical results on the application of Randomized Signature Methods for non-linear, non-parametric drift estimation for a multi-variate financial market. Even though drift estimation is notoriously inaccurate due to small signal to noise ratio, one can still try to learn optimal non-linear maps from past data to conditional expectations of future returns for the purposes of portfolio optimization. Randomized Signatures, in contrast to classical signatures, allow for high dimensional markets and provide features on the same scale. We do not contribute to the theory of Randomized Signatures here, but rather present our empirical findings on portfolio selection in real world settings including real market data and transaction costs.
Authors
- Erdinç Akyıldırım (ORCID: https://orcid.org/0000-0003-0102-4111)
- Syang Zhou (ORCID: https://orcid.org/0009-0003-6810-9416)
- Matteo Gambara (ORCID: https://orcid.org/0000-0002-5583-2459)
- Josef Teichmann (ORCID: https://orcid.org/0000-0003-0125-7484)
Institutions
- University of Nottingham (GB)
Publication Details
- Journal
- Quantitative Finance
- Published
- 2025-02-01
- DOI
- https://doi.org/10.1080/14697688.2025.2458613
- Citations
- 1
- Primary Topic
- Financial Markets and Investment Strategies
- Type
- article
- Field-Weighted Citation Impact
- 2.21