Optimal Execution with Rough Path Signatures

DOI10.1137/19M1259778zbMath1443.91263arXiv1905.00728OpenAlexW3017773673MaRDI QIDQ5112732

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Publication date: 8 June 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.00728

zbMATH Keywords

signatureshigh-frequency tradingrough path theoryoptimal execution

Mathematics Subject Classification ID

Stochastic processes (60G99) Portfolio theory (91G10)

Related Items (9)

Optimal trade execution for Gaussian signals with power-law resilience ⋮ Signature-Based Models: Theory and Calibration ⋮ Optimal stopping with signatures ⋮ Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures ⋮ Optimal Execution with Quadratic Variation Inventories ⋮ Feature engineering with regularity structures ⋮ New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting) ⋮ Optimal execution with stochastic delay ⋮ Double-Execution Strategies Using Path Signatures

Uses Software

• iisignature

Cites Work

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• Algorithm 1004

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