bottler / iisignature
Iterated integral signature calculations
☆104Updated 5 months ago
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 9 months ago
- Foundations and Applications☆96Updated 4 years ago
- esig python package☆48Updated 5 months ago
- Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)☆272Updated last year
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆54Updated 11 months ago
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆49Updated 3 years ago
- Signax: Signature computation in JAX☆28Updated 3 months ago
- ☆26Updated last year
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆47Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Codes for my thesis project: replicating and modifying quant GANs.☆17Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 7 months ago
- Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes☆48Updated 2 years ago
- Code for: "A Generalised Signature Method for Time Series"☆63Updated last year
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆20Updated 8 months ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆50Updated 4 months ago
- ☆64Updated 2 weeks ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆29Updated last year
- Robust pricing and hedging via Neural SDEs☆34Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆74Updated 7 years ago
- Example applications of path signatures☆39Updated last month
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- code for "Optimal Stopping via Randomized Neural Networks"☆54Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆72Updated 4 months ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Scattering Spectra used for the analysis and generation of time-series☆35Updated 4 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆26Updated 11 months ago