(Code snippets for this post can be found in the Github repository.) Update: added discussion and a new fitting algorithm Recap In the previous post, we extended the Smooth Transition Exponential ...

Continuing from the previous post, we work through three examples of approximating path functionals using linear functionals of truncated signatures in increasingly less practical way to illustrate...

Previously I provided some motivations for the use of signatures. In particular, I have always been interested in methods that encode information about time series in a way that can be used by down...

I am starting a series on the signature method now that I have some free time on my hands over the 2025 holiday season. In this post I talk about what motivates me to study the signature method, an...

Table of Contents Recap Simulating Vasicek Model Model Estimation The code for this post is on my Github. Recap In our previous post, we introduced the Vasicek model that used the Ornst...

In the previous post, we built a finetuned VGG16-based model (Model 4) to detect malaria from cell images. We finetuned the VGG16 model by taking part of the trained VGG16 model, and append 2 more ...

Table of Contents Vasicek Model Wrapping Up Vasicek Model We continue our refresher series on the short-rate models. In the previous post, I introduced the Merton model and the Euler-Maruya...

(Code snippets for this post can be found in the Github repository.) Recap In the previous post, we replicated the Smooth Transition Exponential Smoothing (STES) model from (Taylor 2004) and (Liu,...

The notebook for this post can be found here. Table of Contents Model Performances Understanding the Metrics Key Insights and Lessons Learned What’s Next? Closing Thoughts Welcome bac...

The notebook for this post can be found here. Table of Contents Recap Base Model Model 1: Going Deeper Model 2: Changing the Activation Function Model 3: Tackling Data Scarcity and Misc...