Low-dimensional approximations of conditional Volterra processes via NPC geometry

By Reza Arabpour, John Armstrong, Luca Galimberti, Anastasis Kratsios, Giulia Livieri

Published 2024-05-30

Everscope rating

1681.3

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Gaussian Random Projection. Problem types: Dimension Reduction, Time Series Forecasting, Approximation.

arXiv:2405.20094 · Code · Paper rankings

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