6:00 PM Seminar Begins
7:30 PM Reception
Hybrid Event
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Fordham University
Pope Auditorium 113 W 60th St #7
New York, NY 10023
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Abstract:
Signature methods have successfully been used as a tool for feature extraction in statistical learning methods, notably in mathematical finance. The specific reason for their success is often much less clear, besides a general hand-waving to path-dependence. This presentation highlights the potential of signatures for data pooling and options strategies in the commodities space. We further aim to explain the success of signatures in the foundational task: classifying commodity futures markets according to storability. We provide a regular perturbation of the signature of the futures term structure in terms of the convenience yield and identify the volatility of the convenience yield as major discriminant. This is joint work with Hari P. Krishnan.
Bio:
