Universal randomised signatures for generative time series modelling

• URL: http://arxiv.org/abs/2406.10214v2
• Date: Fri, 6 Sep 2024 15:28:03 GMT
• Title: Universal randomised signatures for generative time series modelling
• Authors: Francesca Biagini, Lukas Gonon, Niklas Walter,
• Abstract summary: We employ randomised signature to introduce a generative model for financial time series data. Specifically, we propose a novel Wasserstein-type distance based on discrete-time randomised signatures. We then use our metric as the loss function in a non-adversarial generator model for synthetic time series data.
• Score: 1.8434042562191815
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Randomised signature has been proposed as a flexible and easily implementable alternative to the well-established path signature. In this article, we employ randomised signature to introduce a generative model for financial time series data in the spirit of reservoir computing. Specifically, we propose a novel Wasserstein-type distance based on discrete-time randomised signatures. This metric on the space of probability measures captures the distance between (conditional) distributions. Its use is justified by our novel universal approximation results for randomised signatures on the space of continuous functions taking the underlying path as an input. We then use our metric as the loss function in a non-adversarial generator model for synthetic time series data based on a reservoir neural stochastic differential equation. We compare the results of our model to benchmarks from the existing literature.

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