Status:
Personal website:
+44 1865 273516
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
My research is focused on developing ML algorithms for time series data using techniques at the interface between differential equations, deep learning, kernel methods and rough path theory.
Teaching:
- B8.2 Continuous Martingales and Stochastic Calculus (HT 2018-2019)
- C3.3 Differentiable Manifolds (MT 2019-2020)
Prizes, awards, and scholarships:
- EPSRC scholarship (2018-2021)
- G-Research PhD Prize in Maths and Data Science 2021 (1st place)
- Citadel European Regional Datathon 2021 (3rd place)
Major / recent publications:
Deep Signature Transforms
Patric Bonnier, Patrick Kidger, Imanol Perez Arribas, Cristopher Salvi and Terry Lyons.
Neural Information Processing Systems (NeurIPS) 2019
Sig-SDEs model for quantitative finance
Imanol Perez Arribas, Cristopher Salvi, Lukasz Szpruch.
ACM International Conference on AI in Finance (ICAIF) 2020
The Signature Kernel is the solution of a Goursat PDE
Cristopher Salvi, Thomas Cass, James Foster, Terry Lyons, Weixin Yang.
SIAM Journal on Mathematics of Data Science (SIMODS)
Distribution Regression for Sequential Data
Maud Lemercier, Cristopher Salvi, Theodoros Damoulas, Edwin V. Bonilla, Terry Lyons.
International Conference on Artificial Intelligence and Statistics (AISTATS) 2021
Neural Rough Differential Equations for Long Time Series
James Morrill, Cristopher Salvi, James Foster, Patrick Kidger, Terry Lyons.
International Conference on Machine Learning (ICML) 2021
SigGPDE: Scaling Sparse Gaussian Processes on Sequential Data
Maud Lemercier, Cristopher Salvi, Thomas Cass, Edwin V. Bonilla, Theodoros Damoulas, Terry Lyons
International Conference on Machine Learning (ICML) 2021
SK-Tree: a systematic malware detection algorithmon streaming trees via the signature kernel
Thomas Cochrane, Peter Foster, Varun Chhabra, Maud Lemercier, Cristopher Salvi, Terry Lyons
IEEE International Conference on Cyber Security and Resilience (IEEE-CSR) 2021