Jeremy Reizenstein
I was working on applications of signatures in machine learning with Dr Ben Graham and Dr Anastasia Papavasiliou. In the academic year 2016-2017 I was working at the .
Find my thesis .
You may be able to contact me on j(dot)f(dot)reizenstein(at)warwick(dot)ac(dot)uk.
Log signature calculations
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We have a python package, called iisignature, available on PyPI, which implements signature and log signature calculations reasonably efficiently. . The source code is . The package is explained in . Some simple ideas used in the implementation of the signature parts are explained .
- Mathematica code for playing with signatures is .
Calculation of Iterated-Integral Signatures and Log Signatures explains enough algebra in explicit detail to understand what the Log Signature is. . original . . .
Invariants of multidimensional time series based on their iterated-integral signature with Joscha Diehl exhibits those elements of the signature which are invariant to a) linear transformations b) rotations and c) coordinate permutations. . .
In 2015-16 and 2016-17 I taught IB9N7/MA936, C++ for Quantitative Finance. Autumn term 2017 too.
Mathsys Introduction to Computing 2017
Download here. Find Julia resources . Further Ubuntu installation stuff is in this script.
#CPEU4 May 2016 presentation is .
Short talk Feb 2017
Miniprojects 2014
Multiscale Modelling of Liquid Drop Collisions
with Dr James Sprittles and Dr Duncan Lockerby.
Recognizing characters by their rough-path signatures
with Dr Ben Graham.
