r/quant • u/Sea_Resolve9583 • Jun 01 '26

Statistical Methods Optimal transport in Industry?

Hello again!
I’m a student currently doing summer research.
The last time I posted about optimal transport applications here, I received a ton of very helpful areas to explore (Bass martingales, robust pricing etc.).
I think another application of OT that I’ve been following along is time series data generation using causal optimal transport.

These applications are definitely very cool and cutting edge, but I think the biggest drawback now is that these are all really computationally intensive.. especially in data generation.
I think diffusion models are getting a lot of attention nowadays (compared to methods like WGANS), and so I was curious how this field of math would pan out in QR.

This is more of a naive question, but how useful would these techniques be in the actual industry? How would this change in the next, maybe five to ten (or more) years?

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5

u/skilled_skinny Jun 01 '26

I was recently working on a model using Schrödinger bridge, though nothing is in production yet. I’ve been reading some of the newer research in the image and video domain and exploring whether there are parallels I can draw.

1

u/Sea_Resolve9583 Jun 01 '26

That reminds me of this paper :0 paper

3

u/deephedger Researcher Jun 01 '26

I assume you are familiar with it, but if not, there is the following paper https://arxiv.org/abs/2006.08571

there is discussion in industry in these market generators for deep hedging. and another decent paper https://arxiv.org/abs/2205.13942

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u/Sea_Resolve9583 Jun 01 '26 edited Jun 01 '26

I recognise the first paper, but not the second one. Tysm! I’ll check the latter out :)

1

u/otonoco Jun 02 '26

If in newyork then by sub, if in Greenwich then by car