Minerva Investment Management Society

Quantitative Research Paper

Signature methods in finance

· Quantitative Research

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Summary

The Quantitative Research Division at the Minerva Investment Management Society is pleased to present our latest research paper: “Signature Methods in Finance: A Pathwise Approach to Financial Time Series Representation”

Financial time series are inherently path-dependent — not only where prices end matters, but how they evolve over time. Traditional approaches often overlook this by focusing on summary statistics rather than the full trajectory of the data.

In this paper, we explore signature methods as a mathematically grounded and non-parametric framework for representing financial time series. By encoding paths through iterated integrals, signatures capture higher-order interactions, temporal dependencies, and ordering effects that are central to many market phenomena.

We also highlight the role of Chen’s theorem in enabling efficient computation, making signature-based features particularly relevant for streaming and rolling-window applications.

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Details

Published
20 March 2026
Division
Quantitative Research
Type
Quantitative Research Paper
Pages
10
Authors
3

Cite this report

Minerva Investment Management Society (2026). Signature methods in finance. Quantitative Research. https://minervaims.org/archive/signature-methods-in-finance-2026

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