pafoster / path_signatures_introduction
A Brief Introduction to Path Signatures for Machine Learning Practitioners
☆44Updated 3 years ago
Alternatives and similar repositories for path_signatures_introduction:
Users that are interested in path_signatures_introduction are comparing it to the libraries listed below
- esig python package☆42Updated last month
- ☆24Updated last year
- Example applications of path signatures☆37Updated 2 weeks ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆45Updated 3 years ago
- Code for "Deep Signature Transforms" (NeurIPS 2019)☆91Updated 6 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- Signax: Signature computation in JAX☆26Updated this week
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆46Updated last year
- Parametric estimation of multivariate Hawkes processes with general kernels.☆13Updated 8 months ago
- Market simulator☆57Updated 4 years ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆29Updated 11 months ago
- Iterated integral signature calculations☆97Updated 2 months ago
- Codes for my thesis project: replicating and modifying quant GANs.☆17Updated 3 years ago
- Robust pricing and hedging via Neural SDEs☆31Updated 3 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆53Updated 8 months ago
- ☆63Updated this week
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆47Updated 3 weeks ago
- PyTorch code of "Modeling Continuous Stochastic Processes with Dynamic Normalizing Flows" (NeurIPS 2020)☆47Updated 4 years ago
- ☆18Updated 6 years ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆46Updated 9 months ago
- Code for: "A Generalised Signature Method for Time Series"☆59Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆33Updated 2 years ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆37Updated 2 weeks ago
- Code for the paper "Outlier-robust Kalman Filtering through Generalised Bayes" presented at ICML 2024☆65Updated 7 months ago
- Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)☆266Updated last year
- code for "Neural Jump Ordinary Differential Equations"☆28Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated last year
- Python implementation of fractional brownian motion☆56Updated 4 years ago
- Deep Optimal Stopping Project☆16Updated 5 years ago