Randomized signature methods in optimal portfolio selection
Year: 2025
Type: article
Abstract: 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.
Source: Quantitative Finance
Institutions: University of Nottingham, ETH Zurich
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4407747642