janka-moeller / Sig-SPT

Code for article "Signature Methods in Stochastic Portfolio Theory"

Sig-SPT

These codes have been used in the article Signature Methods in Stochastic Portfolio Theory by Christa Cuchiero and Janka Möller.

For citations:

Cuchiero, C.; Möller, J. Signature Methods in Stochastic Portfolio Theory.

@article{CM:23,
    title={{Signature Methods in Stochastic Portfolio Theory}}, 
    author={Cuchiero, C. and Möller, J.},
    journal={Preprint arXiv:2310.02322},
    year={2023}}

Randomize_signatures.py

Code to compute the

• JL-signatuture using the memory efficient algorithm proposed in our article
• Randomized Signature

Signature_portfolios_classes.py

A collection of classes used for market-simulation an the computation of the (theoretical) growth-optimal portfolio.

Signature_portfolios_functions.py

A collection of basic functions.

Signature_portfolios_optimize_realdata.py

Functions used to optimize signature portfolios using real market data.

Signature_portfolios_optimize_simulated_markets.py

Functions used to traine the signature portfolios in the simulated markets and comparing their performance to the the theoretical growth-optimal portfolio.