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Jeremy Reizenstein

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

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. 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 permutaion. 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

Download here. Find Julia resources here. Further Ubuntu installation stuff is in this script.

#CPEU4 May 2016 presentation is here.

Short talk Feb 2017 slides

29 March 2017: Download some of the official keras examples in notebook format here.

Miniprojects 2014

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