‘Signatures’ promise quants a tool for all jobs

Little-known mathematical technique could find applications from pricing options to sniffing out alpha signals

Quantitative finance is an exercise in spotting patterns in a chaos of data – prices, cashflows, spreads, volatility. Myriad mathematical methods and models exist to detect these patterns. But a new idea known as signatures may soon transform how quants tackle the task.

The fledgling technique works by capturing the essence of a stream of information. Thus, users can compare time series data quicker and more efficiently, potentially helping speed up all manner of quant calculations from pricing

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here