{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,5]],"date-time":"2026-02-05T08:51:59Z","timestamp":1770281519832,"version":"3.49.0"},"publisher-location":"New York, NY, USA","reference-count":32,"publisher":"ACM","license":[{"start":{"date-parts":[[2020,10,15]],"date-time":"2020-10-15T00:00:00Z","timestamp":1602720000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.acm.org\/publications\/policies\/copyright_policy#Background"}],"funder":[{"name":"EPSRC","award":["EP\/N510129\/1"],"award-info":[{"award-number":["EP\/N510129\/1"]}]}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2020,10,15]]},"DOI":"10.1145\/3383455.3422553","type":"proceedings-article","created":{"date-parts":[[2021,10,7]],"date-time":"2021-10-07T14:51:48Z","timestamp":1633618308000},"page":"1-8","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":17,"title":["Sig-SDEs model for quantitative finance"],"prefix":"10.1145","author":[{"given":"Imanol Perez","family":"Arribas","sequence":"first","affiliation":[{"name":"University of Oxford, United Kingdom"}]},{"given":"Cristopher","family":"Salvi","sequence":"additional","affiliation":[{"name":"University of Oxford, United Kingdom"}]},{"given":"Lukasz","family":"Szpruch","sequence":"additional","affiliation":[{"name":"University of Edinburgh, United Kingdom"}]}],"member":"320","published-online":{"date-parts":[[2021,10,7]]},"reference":[{"key":"e_1_3_2_1_1_1","volume-title":"Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. Stochastic Processes and their Applications","author":"Acciaio Beatrice","year":"2019","unstructured":"Beatrice Acciaio , Julio Backhoff-Veraguas , and Anastasiia Zalashko . 2019. Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. Stochastic Processes and their Applications ( 2019 ). Beatrice Acciaio, Julio Backhoff-Veraguas, and Anastasiia Zalashko. 2019. Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. Stochastic Processes and their Applications (2019)."},{"key":"e_1_3_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.aim.2016.02.011"},{"key":"e_1_3_2_1_3_1","volume-title":"Prices of state-contingent claims implicit in option prices. Journal of business","author":"Breeden Douglas T","year":"1978","unstructured":"Douglas T Breeden and Robert H Litzenberger . 1978. Prices of state-contingent claims implicit in option prices. Journal of business ( 1978 ), 621--651. Douglas T Breeden and Robert H Litzenberger. 1978. Prices of state-contingent claims implicit in option prices. Journal of business (1978), 621--651."},{"key":"e_1_3_2_1_4_1","volume-title":"Imanol Perez Arribas, and Leandro S\u00e1nchez-Betancourt","author":"Cartea \u00c1lvaro","year":"2020","unstructured":"\u00c1lvaro Cartea , Imanol Perez Arribas, and Leandro S\u00e1nchez-Betancourt . 2020 . Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning . Available at SSRN (2020). \u00c1lvaro Cartea, Imanol Perez Arribas, and Leandro S\u00e1nchez-Betancourt. 2020. Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning. Available at SSRN (2020)."},{"key":"e_1_3_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1214\/15-AOP1068"},{"key":"e_1_3_2_1_6_1","volume-title":"Signature moments to characterize laws of stochastic processes. arXiv preprint arXiv:1810.10971","author":"Chevyrev Ilya","year":"2018","unstructured":"Ilya Chevyrev and Harald Oberhauser . 2018. Signature moments to characterize laws of stochastic processes. arXiv preprint arXiv:1810.10971 ( 2018 ). Ilya Chevyrev and Harald Oberhauser. 2018. Signature moments to characterize laws of stochastic processes. arXiv preprint arXiv:1810.10971 (2018)."},{"key":"e_1_3_2_1_7_1","volume-title":"A generative adversarial network approach to calibration of local stochastic volatility models. arXiv preprint arXiv:2005.02505","author":"Cuchiero Christa","year":"2020","unstructured":"Christa Cuchiero , Wahid Khosrawi , and Josef Teichmann . 2020. A generative adversarial network approach to calibration of local stochastic volatility models. arXiv preprint arXiv:2005.02505 ( 2020 ). Christa Cuchiero, Wahid Khosrawi, and Josef Teichmann. 2020. A generative adversarial network approach to calibration of local stochastic volatility models. arXiv preprint arXiv:2005.02505 (2020)."},{"key":"e_1_3_2_1_8_1","volume-title":"Embedding and learning with signatures. arXiv preprint arXiv:1911.13211","author":"Fermanian Adeline","year":"2019","unstructured":"Adeline Fermanian . 2019. Embedding and learning with signatures. arXiv preprint arXiv:1911.13211 ( 2019 ). Adeline Fermanian. 2019. Embedding and learning with signatures. arXiv preprint arXiv:1911.13211 (2019)."},{"key":"e_1_3_2_1_9_1","volume-title":"Discretely sampled signals and the rough Hoff process. Stochastic Processes and their Applications 126, 9","author":"Flint Guy","year":"2016","unstructured":"Guy Flint , Ben Hambly , and Terry Lyons . 2016. Discretely sampled signals and the rough Hoff process. Stochastic Processes and their Applications 126, 9 ( 2016 ), 2593--2614. Guy Flint, Ben Hambly, and Terry Lyons. 2016. Discretely sampled signals and the rough Hoff process. Stochastic Processes and their Applications 126, 9 (2016), 2593--2614."},{"key":"e_1_3_2_1_10_1","volume-title":"Robust Pricing and Hedging with neural SDEs. to appear","author":"M. Siska D.","year":"2020","unstructured":"M. Siska D. Szpruch L. Gierjatowicz P., Sabate-Vidales. 2020. Robust Pricing and Hedging with neural SDEs. to appear ( 2020 ). M. Siska D. Szpruch L. Gierjatowicz P., Sabate-Vidales. 2020. Robust Pricing and Hedging with neural SDEs. to appear (2020)."},{"key":"e_1_3_2_1_11_1","unstructured":"Ian Goodfellow Jean Pouget-Abadie Mehdi Mirza Bing Xu David Warde-Farley Sherjil Ozair Aaron Courville and Yoshua Bengio. 2014. Generative adversarial nets. In Advances in neural information processing systems. 2672--2680.  Ian Goodfellow Jean Pouget-Abadie Mehdi Mirza Bing Xu David Warde-Farley Sherjil Ozair Aaron Courville and Yoshua Bengio. 2014. Generative adversarial nets. In Advances in neural information processing systems . 2672--2680."},{"key":"e_1_3_2_1_12_1","volume-title":"Extracting information from the signature of a financial data stream. arXiv preprint arXiv:1307.7244","author":"Gyurk\u00f3 Lajos Gergely","year":"2013","unstructured":"Lajos Gergely Gyurk\u00f3 , Terry Lyons , Mark Kontkowski , and Jonathan Field . 2013. Extracting information from the signature of a financial data stream. arXiv preprint arXiv:1307.7244 ( 2013 ). Lajos Gergely Gyurk\u00f3, Terry Lyons, Mark Kontkowski, and Jonathan Field. 2013. Extracting information from the signature of a financial data stream. arXiv preprint arXiv:1307.7244 (2013)."},{"key":"e_1_3_2_1_13_1","volume-title":"Uniqueness for the signature of a path of bounded variation and the reduced path group. Annals of Mathematics","author":"Hambly Ben","year":"2010","unstructured":"Ben Hambly and Terry Lyons . 2010. Uniqueness for the signature of a path of bounded variation and the reduced path group. Annals of Mathematics ( 2010 ), 109--167. Ben Hambly and Terry Lyons. 2010. Uniqueness for the signature of a path of bounded variation and the reduced path group. Annals of Mathematics (2010), 109--167."},{"key":"e_1_3_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1137\/19M1259778"},{"key":"e_1_3_2_1_15_1","volume-title":"Brownian motion and stochastic calculus","author":"Karatzas Ioannis","unstructured":"Ioannis Karatzas and Steven Shreve . 2012. Brownian motion and stochastic calculus . Vol. Vol. 113 . Springer Science & Business Media . Ioannis Karatzas and Steven Shreve. 2012. Brownian motion and stochastic calculus. Vol. Vol. 113. Springer Science & Business Media."},{"key":"e_1_3_2_1_16_1","volume-title":"Cristopher Salvi, and Terry Lyons.","author":"Kidger Patrick","year":"2019","unstructured":"Patrick Kidger , Patric Bonnier , Imanol Perez Arribas , Cristopher Salvi, and Terry Lyons. 2019 . Deep Signature Transforms. In Advances in Neural Information Processing Systems . 3099--3109. Patrick Kidger, Patric Bonnier, Imanol Perez Arribas, Cristopher Salvi, and Terry Lyons. 2019. Deep Signature Transforms. In Advances in Neural Information Processing Systems. 3099--3109."},{"key":"e_1_3_2_1_17_1","volume-title":"Auto-encoding variational bayes. arXiv preprint arXiv:1312.6114","author":"Kingma Diederik P","year":"2013","unstructured":"Diederik P Kingma and Max Welling . 2013. Auto-encoding variational bayes. arXiv preprint arXiv:1312.6114 ( 2013 ). Diederik P Kingma and Max Welling. 2013. Auto-encoding variational bayes. arXiv preprint arXiv:1312.6114 (2013)."},{"key":"e_1_3_2_1_18_1","volume-title":"Kernels for sequentially ordered data. arXiv preprint arXiv:1601.08169","author":"Kir\u00e1ly Franz J","year":"2016","unstructured":"Franz J Kir\u00e1ly and Harald Oberhauser . 2016. Kernels for sequentially ordered data. arXiv preprint arXiv:1601.08169 ( 2016 ). Franz J Kir\u00e1ly and Harald Oberhauser. 2016. Kernels for sequentially ordered data. arXiv preprint arXiv:1601.08169 (2016)."},{"key":"e_1_3_2_1_19_1","volume-title":"Learning from the past, predicting the statistics for the future, learning an evolving system. arXiv preprint arXiv:1309.0260","author":"Levin Daniel","year":"2013","unstructured":"Daniel Levin , Terry Lyons , and Hao Ni. 2013. Learning from the past, predicting the statistics for the future, learning an evolving system. arXiv preprint arXiv:1309.0260 ( 2013 ). Daniel Levin, Terry Lyons, and Hao Ni. 2013. Learning from the past, predicting the statistics for the future, learning an evolving system. arXiv preprint arXiv:1309.0260 (2013)."},{"key":"e_1_3_2_1_20_1","doi-asserted-by":"publisher","DOI":"10.1109\/ICCVW.2017.80"},{"key":"e_1_3_2_1_21_1","volume-title":"Nonparametric pricing and hedging of exotic derivatives. arXiv preprint arXiv:1905.00711","author":"Lyons Terry","year":"2019","unstructured":"Terry Lyons , Sina Nejad , and Imanol Perez Arribas . 2019. Nonparametric pricing and hedging of exotic derivatives. arXiv preprint arXiv:1905.00711 ( 2019 ). Terry Lyons, Sina Nejad, and Imanol Perez Arribas. 2019. Nonparametric pricing and hedging of exotic derivatives. arXiv preprint arXiv:1905.00711 (2019)."},{"key":"e_1_3_2_1_22_1","volume-title":"Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures. Applied Mathematical Finance","author":"Lyons Terry","year":"2020","unstructured":"Terry Lyons , Sina Nejad , and Imanol Perez Arribas . 2020. Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures. Applied Mathematical Finance ( 2020 ), 1--15. Terry Lyons, Sina Nejad, and Imanol Perez Arribas. 2020. Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures. Applied Mathematical Finance (2020), 1--15."},{"key":"e_1_3_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1145\/2640087.2644157"},{"key":"e_1_3_2_1_24_1","volume-title":"Differential equations driven by rough signals. Revista Matem\u00e1tica Iberoamericana 14, 2","author":"Lyons Terry J","year":"1998","unstructured":"Terry J Lyons . 1998. Differential equations driven by rough signals. Revista Matem\u00e1tica Iberoamericana 14, 2 ( 1998 ), 215--310. Terry J Lyons. 1998. Differential equations driven by rough signals. Revista Matem\u00e1tica Iberoamericana 14, 2 (1998), 215--310."},{"key":"e_1_3_2_1_25_1","volume-title":"Differential equations driven by rough paths","author":"Lyons Terry J","unstructured":"Terry J Lyons , Michael Caruana , and Thierry L\u00e9vy . 2007. Differential equations driven by rough paths . Springer . Terry J Lyons, Michael Caruana, and Thierry L\u00e9vy. 2007. Differential equations driven by rough paths. Springer."},{"key":"e_1_3_2_1_26_1","doi-asserted-by":"publisher","DOI":"10.5555\/211359"},{"key":"e_1_3_2_1_27_1","volume-title":"Learning spatial-semantic context with fully convolutional recurrent network for online handwritten chinese text recognition","author":"Xie Zecheng","year":"2017","unstructured":"Zecheng Xie , Zenghui Sun , Lianwen Jin , Hao Ni , and Terry Lyons . 2017. Learning spatial-semantic context with fully convolutional recurrent network for online handwritten chinese text recognition . IEEE transactions on pattern analysis and machine intelligence 40, 8 ( 2017 ), 1903--1917. Zecheng Xie, Zenghui Sun, Lianwen Jin, Hao Ni, and Terry Lyons. 2017. Learning spatial-semantic context with fully convolutional recurrent network for online handwritten chinese text recognition. IEEE transactions on pattern analysis and machine intelligence 40, 8 (2017), 1903--1917."},{"key":"e_1_3_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1109\/ICDAR.2015.7333821"},{"key":"e_1_3_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1109\/MIS.2016.22"},{"key":"e_1_3_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1109\/ICPR.2016.7900273"},{"key":"e_1_3_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.patcog.2016.04.007"},{"key":"e_1_3_2_1_32_1","volume-title":"Leveraging the path signature for skeleton-based human action recognition. arXiv preprint arXiv:1707.03993","author":"Yang Weixin","year":"2017","unstructured":"Weixin Yang , Terry Lyons , Hao Ni , Cordelia Schmid , Lianwen Jin , and Jiawei Chang . 2017. Leveraging the path signature for skeleton-based human action recognition. arXiv preprint arXiv:1707.03993 ( 2017 ). Weixin Yang, Terry Lyons, Hao Ni, Cordelia Schmid, Lianwen Jin, and Jiawei Chang. 2017. Leveraging the path signature for skeleton-based human action recognition. arXiv preprint arXiv:1707.03993 (2017)."}],"event":{"name":"ICAIF '20: ACM International Conference on AI in Finance","location":"New York New York","acronym":"ICAIF '20","sponsor":["ACM Association for Computing Machinery"]},"container-title":["Proceedings of the First ACM International Conference on AI in Finance"],"original-title":[],"link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3383455.3422553","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/3383455.3422553","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,17]],"date-time":"2025-06-17T22:01:10Z","timestamp":1750197670000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3383455.3422553"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,10,15]]},"references-count":32,"alternative-id":["10.1145\/3383455.3422553","10.1145\/3383455"],"URL":"https:\/\/doi.org\/10.1145\/3383455.3422553","relation":{},"subject":[],"published":{"date-parts":[[2020,10,15]]},"assertion":[{"value":"2021-10-07","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}