Embedding and learning with signatures

Sequential and temporal data arise in many fields of research, such as quantitative finance, medicine, or computer vision. A novel approach for sequential learning, called the signature method and rooted in rough path theory, is considered. Its basic principle is to represent multidimensional paths by a graded feature set of their iterated integrals, called the signature. This approach relies critically on an embedding principle, which consists in representing discretely sampled data as paths, i.e., functions from [0,1] to Rd. After a survey of machine learning methodologies for signatures, the influence of embeddings on prediction accuracy is investigated with an in-depth study of three recent and challenging datasets. It is shown that a specific embedding, called lead–lag, is systematically the strongest performer across all datasets and algorithms considered. Moreover, an empirical study reveals that computing signatures over the whole path domain does not lead to a loss of local information. It is concluded that, with a good embedding, combining signatures with other simple algorithms achieves results competitive with state-of-the-art, domain-specific approaches.