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报告人：张瑞勋教授（北京大学）

时间：2025年3月21日周五下午16：00-17:00 

地点：新葡京娱乐城门户网站 216会议室

报告题目：On Consistency of Signature Using Lasso

报告摘要：

          Signatures are iterated path integrals of continuous and discrete-time processes, and their universal nonlinearity linearizes the problem of feature selection in time series data analysis. This paper studies the consistency of signature using Lasso regression, both theoretically and numerically. We establish conditions under which the Lasso regression is consistent both asymptotically and in finite sample. Furthermore, we show that the Lasso regression is more consistent with the Itô signature for time series and processes that are closer to the Brownian motion and with weaker inter-dimensional correlations, while it is more consistent with the Stratonovich signature for mean-reverting time series and processes. We demonstrate that signature can be applied to learn nonlinear functions and option prices with high accuracy, and the performance depends on properties of the underlying process and the choice of the signature. This is joint work with Xin Guo, Binnan Wang, and Chaoyi Zhao.

报告人简介：

    张瑞勋，北京大学数学科学学院助理教授/研究员、金融数学系副主任，入选国家海外高层次人才计划青年项目。北京大学数学与应用数学、经济学（双学位）学士，麻省理工学院（MIT）应用数学博士。主持国家重点研发计划青年科学家项目、国家自然科学基金面上项目等，研究工作发表在PNAS、Management Science、Operations Research、SIAM Journal on Financial Mathematics, AAAI等国际顶尖期刊和会议上，获北京大学黄廷方/信和青年杰出学者、标普全球ESG学术研究奖、ICPM学术研究奖、Questrom–CEMA最佳论文、CFRI&CIRF最佳论文等奖项。