datasig-ac-uk / esig
esig python package
☆48Updated 4 months ago
Alternatives and similar repositories for esig:
Users that are interested in esig are comparing it to the libraries listed below
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆49Updated 3 years ago
- Iterated integral signature calculations☆104Updated 5 months ago
- Signax: Signature computation in JAX☆28Updated 3 months ago
- Code for: "A Generalised Signature Method for Time Series"☆63Updated last year
- ☆26Updated last year
- Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes☆48Updated 2 years ago
- Toolbox for working with streaming data as rough paths in Python☆36Updated this week
- Example applications of path signatures☆39Updated last month
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆54Updated 11 months ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 3 years ago
- Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)☆272Updated last year
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆47Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆49Updated 3 months ago
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆20Updated 7 months ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆93Updated 9 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 7 months ago
- ☆63Updated this week
- Compile risk with cvxpy☆13Updated last week
- Neat Bayesian machine learning examples☆56Updated 3 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆70Updated 4 months ago
- tsbootstrap: generate bootstrapped time series samples in Python☆79Updated 5 months ago
- ☆48Updated 3 months ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆81Updated last year
- Market simulator☆60Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆33Updated 3 years ago
- Repository for the paper "BONE: a unifying framework for Bayesian online learning in non-stationary environments"☆17Updated 4 months ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆48Updated last year
- Conformal Prediction for Time Series with Modern Hopfield Networks☆77Updated last year
- M6-Forecasting competition☆43Updated last year