On Consistency of Signature Using Lasso

The authors thank Yacine Ait-Sahalia, Jose Blanchet, Steven Campbell, Matias Cattaneo, Nan Chen, Kay Giesecke, Paul Glasserman, Boris Hanin, Xuedong He, Jason Klusowski, Ciamac Moallemi, Hao Ni, Marcel Nutz, Markus Pelger, Shige Peng, Philip Protter, Ruodu Wang, Chao Zhang, Yufei Zhang, and seminar and conference participants at the Annual Conference of the Institute for Operations Research and the Management Sciences 2024, the International Conference of Industrial and Applied Mathematics 2023, Bernoulli-Institute of Mathematical Statistics 11th World Congress in Probability and Statistics, the First INFORMS Conference on Financial Engineering and FinTech, the 2024 Workshop on Stochastic Control, Machine Learning and Quantitative Finance at Shanghai Jiao Tong University, the 2024 Workshop on Mathematical Finance and Insurance at Peking University, Princeton University, Stanford University, Columbia University, University of Waterloo, University of Oxford, and London School of Economics and Political Science for helpful comments and discussion.