TEWI-Kolloquium: Machine Learning in Finance via Randomization

Prof. Dr. Josef Teichmann gives a talk at University Klagenfurt at June 10th 2022.
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).

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Beautiful talk, thank you for uploading!