Generating drawdown-realistic financial price paths using path signatures.

Emiel Lemahieu Kris Boudt Maarten Wyns

Published in: CoRR (2023)

Keyphrases

shortest path
optimal path
multiple paths
path selection
path finding
real life
path length
path queries
routing algorithm
risk management
multipath
real time
path planning
search algorithm
collision free
decision making
stock market
generation process
financial data
real world
neural network