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Cristopher Salvi

The Alan Turing Institute

Imperial College London

SCHOLARLY PAPERS

2

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Top 39,674

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3,226

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5

Scholarly Papers (2)

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1.

Detecting Multivariate Market Regimes Via Clustering Algorithms

Number of pages: 39 Posted: 27 Mar 2024
James Mc Greevy, Aitor Muguruza, Zach Issa, Cristopher Salvi, Jonathan Chan and Zan Zuric
Kaiju Capital Management, Imperial College London, King’s College London - Faculty of Natural and Mathematical Sciences, The Alan Turing Institute, Kaiju Capital Management and Kaiju Capital Management
Downloads 3,045 (10,600)
Citation 5

Abstract:

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k-means clustering, p-Wasserstein, MMD, Mean-Variance optimisation, Stochastic processes, numerical methods, stochastic volatility models, regime classification, unsupervised learning

2.

Non-adversarial Training of Neural SDEs with Signature Kernel Scores

Number of pages: 25 Posted: 26 Oct 2023
Zach Issa, Blanka Horvath, Maud Lemercier and Cristopher Salvi
King’s College London - Faculty of Natural and Mathematical Sciences, Mathematical Institute, University of Oxford and Oxford Man Institute, University of Oxford and The Alan Turing Institute
Downloads 181 (428,796)

Abstract:

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Generative modelling, neural sdes, kernel methods