Status:
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
Rough Paths, Signature methods in machine learning
Teaching:
- HT19: B8.3 Mathematical Models of Financial Derivatives (TA)
-
MT18: B8.1 Probability, Measure and Martingales (TA)
Prizes, awards, and scholarships:
Ioan and Rosemary James Scholarship (St John's college, Oxford)
Jennings Prize (Wolfson college, Cambridge)
Major / recent publications:
Seq2Tens: An Efficient Representation of Sequences by Low-Rank Tensor Projections
Csaba Toth, Patric Bonnier, and Harald Oberhauser, 2020. Preprint.
arxiv.org:2006.07027
Adapted topologies and higher rank signatures
Patric Bonnier, Chong Liu, and Harald Oberhauser, 2020. Preprint.
arXiv:2005.08897
Signature Cumulants, Ordered Partitions, and Independence of Stochastic Processes
Patric Bonnier and Harald Oberhauser, 2019. In press - Bernoulli Journal.
arXiv:1908.06496
Deep Signature Transforms
Patric Bonnier, Patrick Kidger, Imanol Perez Arribas, Cristopher Salvi and Terry Lyons.
33rd Conference on Neural Information Processing Systems, NeurIPS 2019.
https://papers.nips.cc/paper/8574-deep-signature-transforms