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The signature of a path can be described as its full non-commutative exponential. Following T. Lyons we regard its expectation, the expected signature, as path space analogue of the classical moment generating function. The logarithm thereof, taken in the tensor algebra, defines the signature cumulant. We establish a universal functional relation in a general semimartingale context. Our work exhibits the importance of Magnus expansions in the algorithmic problem of computing expected signature cumulants, and further offers a far-reaching generalization of recent results on characteristic exponents dubbed diamond and cumulant expansions; with motivation ranging from financial mathematics to statistical physics. From an affine process perspective, the functional relation may be interpreted as infinite-dimensional, non-commutative ("Hausdorff") variation of Riccati's equation. Many examples are given., 42 pages, 2 figures

Bipolar disorder (BD) and borderline personality disorder (BPD) are two chronic mental health conditions that clinicians find challenging to distinguish based on clinical interviews, due to their overlapping symptoms. In this work, we investigate the automatic detection of these two conditions by modelling both verbal and non-verbal cues in a set of interviews. We propose a new approach of modelling short-term features with visibility-signature transform, and compare it with widely used high-level statistical functions. We demonstrate the superior performance of our proposed signature-based model. Furthermore, we show the role of different sets of features in characterising BD and BPD.

In this paper we put the visibility transformation on a clear theoretical footing and show that this transform is able to embed the effect of the absolute position of the data stream into signature features in a unified and efficient way. The generated feature set is particularly useful in pattern recognition tasks, for its simplifying role in allowing the signature feature set to accommodate nonlinear functions of absolute and relative values.

The development of machine learning algorithms in the cyber security domain has been impeded by the complex, hierarchical, sequential and multimodal nature of the data involved. In this paper we introduce the notion of a streaming tree as a generic data structure encompassing a large portion of real-world cyber security data. Starting from host-based event logs we represent computer processes as streaming trees that evolve in continuous time. Leveraging the properties of the signature kernel, a machine learning tool that recently emerged as a leading technology for learning with complex sequences of data, we develop the SK-Tree algorithm. SK-Tree is a supervised learning method for systematic malware detection on streaming trees that is robust to irregular sampling and high dimensionality of the underlying streams. We demonstrate the effectiveness of SK-Tree to detect malicious events on a portion of the publicly available DARPA OpTC dataset, achieving an AUROC score of 98%., Comment: Published at IEEE-CSR (International Conference on Cybersecurity and Resilience) 2021

Bipolar disorder (BD) and borderline personality disorder (BPD) are both chronic psychiatric disorders. However, their overlapping symptoms and common comorbidity make it challenging for the clinicians to distinguish the two conditions on the basis of a clinical interview. In this work, we first present a new multi-modal dataset containing interviews involving individuals with BD or BPD being interviewed about a non-clinical topic . We investigate the automatic detection of the two conditions, and demonstrate a good linear classifier that can be learnt using a down-selected set of features from the different aspects of the interviews and a novel approach of summarising these features. Finally, we find that different sets of features characterise BD and BPD, thus providing insights into the difference between the automatic screening of the two conditions.

Using rough path techniques, we provide a priori estimates for the output of Deep Residual Neural Networks in terms of both the input data and the (trained) network weights. As trained network weights are typically very rough when seen as functions of the layer, we propose to derive stability bounds in terms of the total $p$-variation of trained weights for any $p\in[1,3]$. Unlike the $C^1$-theory underlying the neural ODE literature, our estimates remain bounded even in the limiting case of weights behaving like Brownian motions, as suggested in [arXiv:2105.12245]. Mathematically, we interpret residual neural network as solutions to (rough) difference equations, and analyse them based on recent results of discrete time signatures and rough path theory., 21 pages, 2 figures

Geometric features, robust to noise, of curves in Euclidean space are of great interest for various applications such as machine learning and image analysis. We apply the Fels-Olver's moving frame method (for geometric features) paired with the log-signature transform (for robust features) to construct a set of integral invariants under rigid motions for curves in $\mathbb{R}^d$ from the iterated-integral signature. In particular we show that one can algorithmically construct a set of invariants that characterize the equivalence class of the truncated iterated-integrals signature under orthogonal transformations which yields a characterization of a curve in $\mathbb{R}^d$ under rigid motions (and tree-like extensions) and an explicit method to compare curves up to these transformations., 37 pages, 4 figures

We explore the algebraic properties of a generalized version of the iterated-sums signature, inspired by previous work of F.~Kir\'aly and H.~Oberhauser. In particular, we show how to recover the character property of the associated linear map over the tensor algebra by considering a deformed quasi-shuffle product of words on the latter. We introduce three non-linear transformations on iterated-sums signatures, close in spirit to Machine Learning applications, and show some of their properties., Comment: 17 pages

Relying on large pretrained language models such as Bidirectional Encoder Representations from Transformers (BERT) for encoding and adding a simple prediction layer has led to impressive performance in many clinical natural language processing (NLP) tasks. In this work, we present a novel extension to the Transformer architecture, by incorporating signature transform with the self-attention model. This architecture is added between embedding and prediction layers. Experiments on a new Swedish prescription data show the proposed architecture to be superior in two of the three information extraction tasks, comparing to baseline models. Finally, we evaluate two different embedding approaches between applying Multilingual BERT and translating the Swedish text to English then encode with a BERT model pretrained on clinical notes.

We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by linear and non-linear functionals of the rough path signature $\mathbb{X}^{, Comment: 39 pages, 1 figure

The problem of detecting an abrupt change in the distribution of an arbitrary, sequentially observed, continuous-path stochastic process is considered and the optimality of the CUSUM test is established with respect to a modified version of Lorden's criterion. We apply this result to the case that a random drift emerges in a fractional Brownian motion and we show that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst indexHadopts a polynomial drift term with exponentH+1/2.