I am 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 Alan Turing Institute.
Contact me at j(dot)f(dot)reizenstein(at)warwick(dot)ac(dot)uk
Thesis has been submitted. Find it here.
Log signature calculations
We have a python package, called iisignature, available on PyPI, which implements signature and log signature calculations reasonably efficiently. User documentation is here. The source code is here. The package is explained in this paper on arxiv. Some simple ideas used in the implementation of the signature parts are explained here.
- Mathematica code for playing with signatures is here.
Calculation of Iterated-Integral Signatures and Log Signatures explains enough algebra in explicit detail to understand what the Log Signature is. arxiv. original code. demonstration. September 2016 presentation.
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. arxiv.
In 2015-16 and 2016-17 I taught IB9N7/MA936, C++ for Quantitative Finance. Autumn term 2017 too. Details are on my.wbs .
Mathsys Introduction to Computing 2017
#CPEU4 May 2016 presentation is here.
Short talk Feb 2017 slides
Multiscale Modelling of Liquid Drop Collisions
with Dr James Sprittles and Dr Duncan Lockerby. Report
Recognizing characters by their rough-path signatures
with Dr Ben Graham. Report