Department of Mathematical Sciences
Colloquium
Co-sponsored by the Center for Industrial Mathematics and Statistics (CIMS)
Friday, November 7th, 2025
11:00AM-11:50AM
Stratton Hall 202
Speaker: Hari Krishnan, SCT Capital Management
Title: Building Cross-Sectionally Stable Options Strategies Using the Signature Method
Abstract: In this lecture, we'll provide an overview of two papers, co-written with Stephan Sturm (WPI). The first paper, empirical in nature, demonstrates the effectiveness of the signature method for time series classification. The second introduces a mathematical technique called "signature perturbation theory"; this helps us understand where an ML method that uses signatures as a feature set is focusing its attention. In certain contexts, it turns a model free learning algorithm into an interpretable model. We'll then use these insights to describe cross-sectional variation in the trade selection and performance of various standard options strategies across markets.