Department of Mathematical SciencesColloquiumCo-sponsored by the Center for Industrial Mathematics and Statistics (CIMS)Friday, November 7th, 202511:00AM-11:50AMStratton Hall 202Speaker: Hari Krishnan, SCT Capital ManagementTitle: Building Cross-Sectionally Stable Options Strategies Using the Signature MethodAbstract: 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.