bottler / iisignatureLinks
Iterated integral signature calculations
☆106Updated last month
Alternatives and similar repositories for iisignature
Users that are interested in iisignature are comparing it to the libraries listed below
Sorting:
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆93Updated 11 months ago
- esig python package☆48Updated 6 months ago
- Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)☆274Updated last year
- Foundations and Applications☆98Updated 5 years ago
- Signax: Signature computation in JAX☆30Updated 5 months ago
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆50Updated 3 years ago
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆55Updated last year
- ☆27Updated last year
- Scattering Spectra used for the analysis and generation of time-series☆37Updated 6 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆55Updated 2 years ago
- Market simulator☆60Updated 4 years ago
- Code for: "A Generalised Signature Method for Time Series"☆63Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- ☆67Updated 2 weeks ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆48Updated 2 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- Robust pricing and hedging via Neural SDEs☆36Updated 3 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆27Updated last year
- Parametric estimation of multivariate Hawkes processes with general kernels.☆13Updated last year
- Example applications of path signatures☆39Updated 2 months ago
- Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes☆49Updated 2 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆31Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆53Updated 5 months ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆74Updated 7 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆46Updated 2 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year