Josef Teichmann, ETH Zurich

Machine Learning in Finance via randomization
Date
May 3, 2022, 4:30 pm5:30 pm
Event Description

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).

Josef Teichmann, Professor of mathematical Finance at ETH Zurich since 2009, recent research interests include Stochastic Finance, Rough Analysis and Machine Learning in Finance.