bottler / iisignature
Iterated integral signature calculations
☆103Updated 3 months ago
Alternatives and similar repositories for iisignature:
Users that are interested in iisignature are comparing it to the libraries listed below
- Foundations and Applications☆95Updated 4 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆93Updated 7 months ago
- Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)☆267Updated last year
- esig python package☆47Updated 2 months ago
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆48Updated 3 years ago
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆53Updated 9 months ago
- Signax: Signature computation in JAX☆28Updated last month
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆46Updated last year
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆45Updated 3 years ago
- ☆26Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 5 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Code for: "A Generalised Signature Method for Time Series"☆62Updated last year
- Market simulator☆59Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated 2 years ago
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆18Updated 6 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆33Updated 3 years ago
- Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes☆48Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆53Updated 2 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- A Python implementation of the rough Bergomi model.☆119Updated 6 years ago
- ☆63Updated last month
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆69Updated 2 months ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆29Updated last year
- ☆19Updated 6 years ago
- Toolbox for working with streaming data as rough paths in Python☆36Updated last week
- Parametric estimation of multivariate Hawkes processes with general kernels.☆13Updated 9 months ago
- Codes for my thesis project: replicating and modifying quant GANs.☆17Updated 3 years ago