Leonard Wong
@wongtkleonard
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Associate Professor @UofTStatSci and @UTSC. I work on mathematical finance, probability, optimal transport, information geometry, and their applications.
Toronto
Joined January 2020
New paper with Steven Campbell who was my PhD student at U of T. The excess growth rate is a fundamental logarithmic functional in portfolio theory. We connect it with various information-theoretic concepts and provide three axiomatic characterization theorems!
Campbell, Wong: A mathematical study of the excess growth rate https://t.co/CoIN5IuMCx
https://t.co/VQVPkXzb4o
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Finally, this paper has been published at IEEE Transactions on Information Theory. Very proud of Cale (now at Monash University) and Amanjit who made this happen. We are honoured to dedicate this work to Prof. Amari. https://t.co/aZBwq9J26f
ieeexplore.ieee.org
The Bregman-Wasserstein divergence is the optimal transport cost when the underlying cost function is given by a Bregman divergence, and arises naturally in fields such as statistics and machine...
New version on https://t.co/ZAEbHWNSm8. Couldn't have done it without help from my student Amanjit who joined as a co-author. Includes new implementations with neural OT. Figure shows our primal and dual displacement interpolations w.r.t. "transport KL-geometry" on the simplex.
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I've not mentioned it yet on Twitter, but since my department announced it today, I'll do so too. I was promoted to Full Professor ๐ (effective July 2024, in fact). Those of you who are professors will know how critical mentors and students are to our success, and this is very
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Glad to share that this paper has been accepted for publication at the journal Quantitative Finance.
Revised version available on arXiv. Now we use data up to Dec 2024.
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Proud to say that my work on the logarithmic divergence is discussed in Prof. Amariโs survey.
๐๏ธThe 2025 @KyotoPrize Shun-ichi Amari ๐๐๐ ๐Check out Amari's research suvery article "Information geometry" (48 pages) published in 2021 here: https://t.co/uCnrZQ8VUq
@springer1842
#DownloadForFree til July 31, 2025 ๐ #JapaneseJournalofMathematics ๐ต๏ธ#TakagiLectures
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BREAKING NEWS Congratulations to Professor Shun-ichi Amari! 2025 Kyoto Prize Laureates https://t.co/4fOpidHtO1
kyotoprize.org
Shun-ichi Amari
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๐Good News. The journal Information Geometry has received its first #ImpactFactor of ๐1.2๐! Ranked as Q1 (84th/483) in SCIE/ESCI mathematics journals worldwide.๐๐๐ ๐ https://t.co/Ej4fnKJCuB cf. CiteScore @Scopus 2024: 2.0 Thanks to all our authors, reviewers and editors!
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New version on https://t.co/ZAEbHWNSm8. Couldn't have done it without help from my student Amanjit who joined as a co-author. Includes new implementations with neural OT. Figure shows our primal and dual displacement interpolations w.r.t. "transport KL-geometry" on the simplex.
Proud to present my new paper with Cale Rankin @FieldsInstitute We study the Bregman-Wasserstein divergence - the optimal transport cost where the cost function is a Bregman divergence. https://t.co/ZAEbHWNSm8
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To me this is my real entry point to information geometry
Article #OTD 1/2 "Logarithmic divergences from optimal transport and Rรฉnyi geometry" L(ยฑฮฑ)-divergences induce geometries are dually projectively flat with constant sectional curvatures
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Revised version available on arXiv. Now we use data up to Dec 2024.
Happy to share my new paper on macroscopic properties of the US equity market with Steven Campbell and Qien Song. We study several macroscopic properties such as the capital distribution curve (see figure), market diversity and intrinsic volatility. https://t.co/w8CcSWVZn5
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It is an honour to present my work in Japan where many ideas were first developed.
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We had a wonderful time at #FDIG2025! A message dessert plate has been presented to the chair at #informationgeometry editorial board meeting.
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And Iโll be supervising a group project on optimal transport.
Are you a Canadian citizen or PR? 3rd or 4th year in undergrad? Available June 2-13 for a fully funded summer school in statistics? Learn more and apply here: https://t.co/zBfdor6DEa Yours truly will be teaching you some online learning theory.
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Recently, Acciaio, Hou, and Pammer extended our method to cover the multivariate case with entropic regularization. Together, we obtained a good understanding of adapted OT between Gaussian processes. https://t.co/0qGwojmDLo
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To appear in Electronic Communications in Probability: https://t.co/86giYOOepN
arxiv.org
We derive explicitly the adapted $2$-Wasserstein distance between non-degenerate Gaussian distributions on $\mathbb{R}^N$ and characterize the optimal bicausal coupling(s). This leads to an...
New paper with my PhD student Madhu Gunasingam. We derive the adapted (bicausal) 2-Wasserstein distance between Gaussian distributions. It leads to an adapted version of the Bures-Wasserstein distance. https://t.co/86giYONGAf
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#UofT to increase base funding for PhD students to $40,000 per year ๐ซ https://t.co/iMM3xywMxb
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Comment from Dr. Shun-ichi Amari, RIKEN Honorary Science Advisor, Former Director, RIKEN Brain Science Institute, regarding the 2024 Nobel Prize in Physics * https://t.co/7TL82dyZj4 * #NovelPrizeInPhysics #AI #Neuroscience #riken #rikencbs
@RIKEN_CBS
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Hurry up! โฐ CALL for oral / poster presentations CLOSING SOON! Apply here: https://t.co/kma8PK8UU7 by Sep 30th, Monday, 2024 ๐#FDIG2025 International conference on โFurther Developments of Information Geometryโ will be held in March 2025, Tokyo ๐ https://t.co/CXCDzWYBLQ
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In the process we propose interesting statistical and financial questions motivated in part by stochastic portfolio theory. Code base including a portfolio backtesting engine:
github.com
Code to reproduce the analysis in [Campbell, Song & Wong (2025)]. A portfolio backtesting engine is also provided. - stevenacampbell/Macroscopic-Properties-of-Equity-Markets
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