arXiv releases v2 of the Branched Signature Model paper
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Munawar Ali and Qi Feng released v2 of the paper "Branched Signature Model" on arXiv on October 20, 2026. Based on the branched rough path framework, this paper generalizes the classical geometric rough path, proves a universal approximation theorem, and shows that high-level signatures can be approximated through iterative combinations of low-level signature mappings. This model can explicitly extend original paths to high-dimensional space via mapping Ψ, implementing the classical geometric signature of the extended path, and has been validated for effectiveness in two applications: rough volatility calibration and optimal execution.
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- arXiv q-finResearch on Branching Signature Models
The paper proposes a branching signature model that generalizes the classical geometric rough path based on the branching rough path framework, proving its universal approximation theorem, which can approximate high-level signatures through iterative combinations of low-level signature mappings. The model can explicitly extend the original path to a high-dimensional space via the mapping Ψ, implementing it as the classical geometric signature of the extended path, and its effectiveness is verified in two applications: rough volatility calibration and optimal execution.
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