Seminar Advanced Topics in Finance
The goal of the seminar is to understand applications of reservoir computing in mathematical finance.
We shall work with the following recent articles:
- Lyudmila Grigoreva, Juan-Pablo Ortega: Echo state networks are universal.
- Lyudmila Grigoreva, Juan-Pablo Ortega: Universal discrete-time reservoir computers with stochastic inputs and linear readouts using non-homogeneous state-affine systems.
- Lyudmila Grigoreva, Julie Henriques, Laurent Larger, Juan-Pablo Ortega: Stochastic Nonlinear Time Series Forecasting Using Time-Delay Reservoir Computers: Performance and Universality.
- Lyudmila Grigoreva, Julie Henriques, Laurent Larger, Juan-Pablo Ortega: Nonlinear memory capacity of parallel time-delay reservoir computers in the processing of multidimensional signals.
- Massimo Fornasier, Jan Haskovec, Jan Vybiral: Particle systems and kinetic equations modeling interacting agents in high dimension, arxiv.1104.2583.
- Massimo Fornasier: talk at Rutgers 2013.