Signature Fidelity on S&P 500 2009–2022 (in-sample)
0.01Relative MSEReg-TAd4
Evaluation results
| Method | Links | |
|---|---|---|
| Reg-TAd4Method Category=Deterministic, Signature Depth=42026.06 | 0.01 | |
| Reg-TLLd4Method Category=Deterministic, Signature Depth=42026.06 | 0.01 | |
| Ours-TAd4Method Category=Probabilistic, Signature Depth=42026.06 | 0.01 | |
| Ours-TLLd4Method Category=Probabilistic, Signature Depth=42026.06 | 0.01 | |
| InsertionMethod Category=Deterministic, Signature Depth=42026.06 | 0.03 | |
| LegendreMethod Category=Deterministic, Signature Depth=42026.06 | 0.08 | |
| FourierMethod Category=Deterministic, Signature Depth=42026.06 | 1.71 |