bottler / iisignatureLinks
Iterated integral signature calculations
☆108Updated 3 months ago
Alternatives and similar repositories for iisignature
Users that are interested in iisignature are comparing it to the libraries listed below
Sorting:
- Foundations and Applications☆100Updated 5 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆97Updated last year
- esig python package☆48Updated 8 months ago
- Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)☆283Updated last year
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- ☆27Updated 2 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆54Updated 4 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆15Updated 11 months ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆50Updated 3 weeks ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- ☆67Updated 3 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated last month
- Implements Path Shadowing Monte Carlo (PSMC).☆80Updated 8 months ago
- Market simulator☆61Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes☆49Updated 3 years ago
- Scattering Spectra used for the analysis and generation of time-series☆39Updated 8 months ago
- ☆19Updated 7 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14Updated last year
- ☆18Updated 5 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Code for: "A Generalised Signature Method for Time Series"☆64Updated 2 years ago
- Rapid large-scale fractional differencing with NVIDIA RAPIDS and GPU to minimize memory loss while making a time series stationary. 6x-40…☆57Updated 5 years ago
- Multivariate data modelling with Copulas in Python☆157Updated 7 months ago