A rough path between mathematics and data science
Yuliy Baryshnikov
Oriented areas and chain of offsets models
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Abstract
Oriented areas, the first non-trivial iterated integrals for multidimensional time series, can be interpreted in terms of leader-follower relationships between the observables. In many model situations, applying some spectral tools allow one to reconstruct these relationships.
I will describe a few applications of these ideas, in the areas of finance and neurophysiology.