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Optimal Execution with Rough Path Signatures - MaRDI portal

Optimal Execution with Rough Path Signatures (Q5112732)

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scientific article; zbMATH DE number 7209462
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English
Optimal Execution with Rough Path Signatures
scientific article; zbMATH DE number 7209462

    Statements

    title
    Optimal Execution with Rough Path Signatures (English)
    0 references
    DOI
    10.1137/19M1259778
    0 references
    publication date
    8 June 2020
    0 references
    zbMATH DE Number
    7209462
    0 references
    zbMATH Keywords
    optimal execution
    0 references
    rough path theory
    0 references
    signatures
    0 references
    high-frequency trading
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    arXiv ID
    1905.00728
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    cites work
    Q3415147
    0 references
    Q5263525
    0 references
    Q4324333
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    Algorithm 1004
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    OpenAlex ID
    W3017773673
    0 references
     
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