The signature is an infinite graded sequence of statistics known to characterise a stream of data up to a negligible equivalence class. It is a transform which has previously been treated as a fixed feature transformation, on top of which a model may be built. We propose a novel approach which combines the advantages o…
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48 results for “Signature Transform”
The visibility transformation embeds data position into signature features for efficient pattern recognition.
problem Embedding absolute position into signature features for efficient pattern recognition.
method The visibility transformation is put on a theoretical footing and used to embed absolute position into signature features efficiently.
result The generated feature set simplifies pattern recognition by accommodating nonlinear functions of absolute and relative values.
A theorem transforms Lorentzian to signature-changing metrics.
problem Signature-changing manifolds and their initial conditions.
method Transformation prescription to change metrics.
result Transformation Theorem linking Lorentzian to signature-changing metrics.
Transformer model improves asset allocation by unifying forecasting and optimization.
problem Separation of forecasting and optimization leads to suboptimal portfolios.
method Signature Informed Transformer using path signatures and specialized attention.
result Direct minimization of Conditional Value at Risk improves performance.
Efficiently computes sparse signature coefficients using kernels.
problem Lack of efficient methods for sparse signature coefficients.
method Signature kernels and PDE-based methods.
result Sparse groups of signature coefficients can be isolated effectively.
The paper revisits expected signatures in semimartingale models, providing new formulae and simplifying complexity.
problem Computing expected signatures in semimartingale models.
method Revisits and provides new formulae for computing expected signatures in a general semimartingale setting.
result Log-transform of expected signatures simplifies complexity, leading to signature cumulants.
Estimates path-valued data using signature metrics and local kernels.
problem Nonparametric regression and classification for path-valued data.
method Combines signature transform and local kernel regression.
result Establishes convergence bounds and demonstrates competitive accuracy.
A new graph signature invariant to graph automorphisms.
problem Graph symmetry and feature generation.
method Power spectrum signature derived from squared graph Fourier transform.
result Power spectrum signature is stable under graph perturbations.
Sig-Splines model uses signatures and splines for time series data, achieving universality and convexity.
problem Creating a generative model for multivariate time series data.
method Combines linear transformations and signature transforms into a neural spline flow.
result Achieves universality and introduces convexity in model parameters.
By a theorem of A'Campo, the eigenvalues of certain Coxeter transformations are positive real or lie on the unit circle. By optimally bounding the signature of tree-like positive Hopf plumbings from below by the genus, we prove that at least two thirds of them lie on the unit circle. In contrast, we show that for divid…
Signature Isolation Foreststat.ML
Signature Isolation Forest removes constraints from FIF by using rough path theory's signature transform.
problem Challenges in FIF's linear inner product and dictionary choices leading to unreliable results.
method Introduces Signature Isolation Forest using rough path theory's signature transform to remove linearity constraints.
result Demonstrates relevance of methods through numerical experiments and real-world applications.
This paper extends hypergraph construction to multivariate time series using signature transforms.
problem Constructing hypergraphs from collections of multivariate time series.
method Leveraging signature transforms to introduce controlled randomness and robustness.
result Validated on synthetic datasets, the method enhances robustness in hypergraph construction.
A new VWAP execution method using transformer and signature features.
problem Asset-specific model training and complex temporal dependencies.
method Combining transformer-based design with path signatures for capturing geometric features.
result GFT-Sig model achieves superior performance in VWAP loss metrics.
Signatures provide a succinct description of certain features of paths in a reparametrization invariant way. We propose a method for classifying shapes based on signatures, and compare it to current approaches based on the SRV transform and dynamic programming.
Rough Transformers: Lightweight and Continuous Time Series Modelling through Signature Patchingstat.ML
Rough Transformers improve time series modeling with lower costs and better performance.
problem Inefficient modeling of irregularly sampled time series data.
method Signature patching for continuous-time representations, reducing computational costs.
result Rough Transformers outperform vanilla Transformers and Neural ODE models.
We construct a family of split signature Einstein metrics in four dimensions, corresponding to particular classes of third order ODEs considered modulo fiber preserving transformations of variables.
Deep signature/log-signature FBSDE algorithm improves accuracy and training time.
problem Solving FBSDEs with state and path dependent features.
method Incorporates deep signature/log-signature transformation into RNN model.
result Improves accuracy and training time compared to existing methods.
New method for curve comparison using iterated integrals and moving frames.
problem Comparing curves robustly to noise and transformations.
method Moving frame method paired with log-signature transform.
result Algorithmic construction of invariants for curve equivalence under rigid motions.
Signature volatility models are analyzed for existence, arbitrage, completeness, and hedging-error decomposition.
problem Existence, arbitrage, completeness, and hedging-error decomposition of signature volatility models.
method Global existence and uniqueness of strong solutions, asset-pricing, market completeness, and hedging-error decomposition derived through structural results.
result Signature volatility models are structurally sound with existence, arbitrage, completeness, and hedging-error decomposition.
For a normal covering over a closed oriented topological manifold we give a proof of the L2-signature theorem with twisted coefficients, using Lipschitz structures and the Lipschitz signature operator introduced by Teleman. We also prove that the L-theory isomorphism conjecture as well as the C^*_max-version of the Bau…
New imputation strategies improve signature models for irregular time series.
problem Applying signature models to irregular time series requires continuous path construction.
method Characterized imputation as a problem, evaluated various strategies, proposed GP-PoM.
result Gaussian process adapters improve predictive performance and robustness.
New SDEs from affine and polynomial perspectives for path-dependent processes.
problem Characterizing path-dependent stochastic processes.
method Affine and polynomial processes, signature SDEs, Fourier-Laplace transform, Riccati and linear ODEs.
result Explicit formulas for the Fourier-Laplace transform and expected values of entire functions of signature processes.
Introduces flat discrete signatures for financial data analysis.
problem Representing financial data for machine learning without continuous transformation.
method Introduced flat discrete signatures and discrete signatures, generalizing flat discrete signatures.
result Flat discrete signatures can represent quadratic variation relevant in finance.
Predicts next actions in soccer possessions using path signatures.
problem Predicting next actions in soccer possessions with high accuracy.
method Leveraging path signatures to encode spatio-temporal structure of recent possessions, avoiding manual feature engineering.
result Our approach outperforms transformer-based benchmarks across various loss metrics and reduces computational cost.
SigMA uses signatures and attention to estimate parameters in fBm-driven SDEs.
problem Estimating parameters in SDEs driven by fBm is challenging due to non-Markovian and semimartingale issues.
method SigMA integrates path signatures with multi-head self-attention, using convolutional and MLP layers.
result SigMA outperforms other methods in accuracy, robustness, and model compactness.
This paper provides a new unimodality test with application in hierarchical clustering methods. The proposed method denoted by signature test (Sigtest), transforms the data based on its statistics. The transformed data has much smaller variation compared to the original data and can be evaluated in a simple proposed un…
In work of Higson-Roe the fundamental role of the signature as a homotopy and bordism invariant for oriented manifolds is made manifest in how it and related secondary invariants define a natural transformation between the (Browder-Novikov-Sullivan-Wall) surgery exact sequence and a long exact sequence of C*-algebra K-…
Signature uniquely identifies piecewise linear surfaces up to thin homotopy.
problem Characterizing piecewise linear surfaces up to equivalence.
method Crossed module of piecewise linear surfaces and signature homomorphism.
result Signature uniquely characterizes surfaces up to translation and thin homotopy.
Introduces Exponentially Weighted Signature for better path representation.
problem Uniform treatment of historical information in signatures.
method Generalizes EFM signature to bounded linear operators, enabling contextualised temporal weighting.
result EWS is the unique solution to a linear controlled differential equation and generalizes state-space models.
A new neural network model reduces features in high-dimensional sequential data.
problem Exponential growth in features of truncated signature transform in high-dimensional data.
method Proposes a neural network model inspired by Convolutional Neural Networks to address feature growth.
result Reduces the number of features efficiently in a data-dependent way.
We provide an introduction to the signature method, focusing on its theoretical properties and machine learning applications. Our presentation is divided into two parts. In the first part, we present the definition and fundamental properties of the signature of a path. The signature is a sequence of numbers associated …
Generative modelling of financial time series with structured noise and MMD-based signature learningq-fin.MF
Generative model for financial time series using structured noise and signature learning.
problem Creating synthetic financial data to reflect real-world market dynamics.
method Structured noise, moving average model, signature transform, reinforcement learning.
result Model effectively captures key financial characteristics and outperforms existing methods.
Vehicle recognition and classification have broad applications, ranging from traffic flow management to military target identification. We demonstrate an unsupervised method for automated identification of moving vehicles from roadside audio sensors. Using a short-time Fourier transform to decompose audio signals, we t…
Study on TQFT signatures converging to modular form.
problem Analyzing the signature of SU2-TQFT vector spaces.
method Proving convergence and using modular forms.
result Signature function converges to a modular form.
The paper proves new theorems about specific types of operator perturbations.
problem Analyzing conformal perturbations of Dirac and signature operators.
method Developed Kastler-Kalau-Walze type theorems for specific operator types.
result Established new theorems for six-dimensional manifolds with boundary.
SigTime learns interpretable signatures from time series data.
problem Discovering meaningful patterns in time series data with high complexity and limited interpretability.
method Jointly trains two Transformer models using shapelet-based and feature engineering representations.
result Learned shapelets serve as interpretable signatures for time series classification.
Study shows non-orientable manifolds restrict signature-changing metrics globally.
problem Global obstructions to signature-changing metrics on non-orientable manifolds.
method Explicit geometric constructions based on Möbius strip topology.
result Radical of signature-changing metrics cannot be everywhere transverse.
Rough Transformers improve efficiency for medical time-series data.
problem Efficiently modeling irregularly sampled, long-range time-series data.
method Introducing Rough Transformers, a Transformer variant with continuous-time representations and multi-view signature attention.
result Rough Transformers outperform vanilla Transformers while using less computational resources.
We define spin frames, with the aim of extending spin structures from the category of (pseudo-)Riemannian manifolds to the category of spin manifolds with a fixed signature on them, though with no selected metric structure. Because of this softer requirements, transformations allowed by spin frames are more general tha…
Signatory is a library for calculating and performing functionality related to the signature and logsignature transforms. The focus is on machine learning, and as such includes features such as CPU parallelism, GPU support, and backpropagation. To our knowledge it is the first GPU-capable library for these operations. …
Signature portfolios approximate optimal wealth in non-Markovian markets.
problem Approximating optimal wealth in non-Markovian markets.
method Linear path-functional portfolios based on signatures of market weights.
result Signature portfolios can uniformly approximate any continuous portfolio function.
The paper develops a deep signature approach for option pricing under non-Markovian stochastic volatility models.
problem Pricing options under non-Markovian stochastic volatility models is challenging due to the dependence on historical paths.
method Reformulate the asset dynamics as a rough stochastic differential equation and represent rough paths via signatures. Apply standard analytical tools to solve the transformed equation.
result The deep signature approach provides a theoretically grounded and computationally efficient framework for option pricing.
Study light ray transform in pseudo-Euclidean space, derive inversion formula, and prove stability.
problem Analyzing light ray transform in pseudo-Euclidean space.
method Investigate normal operator, derive inversion formula, analyze as Fourier Integral Operator.
result Derive an inversion formula and prove stability estimates.
The main result of this paper is a new and direct proof of the natural transformation from the surgery exact sequence in topology to the analytic K-theory sequence of Higson and Roe. Our approach makes crucial use of analytic properties and new index theorems for the signature operator on Galois coverings with boundary…
The Volterra signaturestat.ML
Volterra signature provides a clear, interpretable feature for history-dependent systems.
problem Learning from non-Markovian time series with implicit memory mechanisms.
method Develops Volterra signature as a tensor algebra representation weighted by a temporal kernel, proving injectivity and universal approximation.
result Volterra signature leads to linear functionals and universal approximation, improving dynamic learning tasks.
Deep networks learn clean structure before memorizing corrupted labels, leaving a spectral signature in gradient centered scatter.
problem Deep networks' transition from learning clean structure to memorizing corrupted labels under label noise.
method Analysis of the centered scatter of per-example last-layer gradients to identify Fisher Rank Inflation.
result Fisher Rank Inflation is a spectral signature of memorization under label noise, with effective rank expanding during memorization.
Bayesian time series forecasting improves by dynamically adapting to recent information.
problem Lack of forgetting mechanism in signature kernel for time series forecasting.
method Introducing a novel forgetting mechanism for signature features using Random Fourier Decayed Signature Features (RFDSF) with Gaussian processes (GPs).
result Demonstrates superior performance compared to other GP-based alternatives and state-of-the-art probabilistic time series forecasting algorithms.
:Let G be a group together with an descending nested sequence of normal subgroups G=G_0, G_1, G_2 G_3, ... of finite index [G:G_k] such the intersection of the G_k-s is the trivial group. Let (X,Y) be a compact 4n-dimensional Poincare' pair and p: (\bar{X},\bar{Y}) \to (X,Y) be a G-covering, i.e. normal covering with G…