Optimal Execution with Rough Path Signatures (Q5112732): Difference between revisions

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+Pathwise integration with respect to paths of finite quadratic variation
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+Pathwise superreplication via Vovk's outer measure
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+The signature of a rough path: uniqueness
@@ Property / cites work: The signature of a rough path: uniqueness / rank @@
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+Q3415147
@@ Property / cites work: Q3415147 / rank @@
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+Algorithmic Trading with Model Uncertainty
@@ Property / cites work: Algorithmic Trading with Model Uncertainty / rank @@
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+Optimal execution with limit and market orders
@@ Property / cites work: Optimal execution with limit and market orders / rank @@
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+A Closed-Form Execution Strategy to Target Volume Weighted Average Price
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+Incorporating order-flow into optimal execution
@@ Property / cites work: Incorporating order-flow into optimal execution / rank @@
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+Q5263525
@@ Property / cites work: Q5263525 / rank @@
+Normal rank
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+Characteristic functions of measures on geometric rough paths
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+Functional Itō calculus and stochastic integral representation of martingales
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+Semi-martingales and rough paths theory
@@ Property / cites work: Semi-martingales and rough paths theory / rank @@
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+Stochastic analysis, rough path analysis and fractional Brownian motions.
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+Optimal execution with non-linear transient market impact
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+Discretely sampled signals and the rough Hoff process
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+A note on the notion of geometric rough paths
@@ Property / cites work: A note on the notion of geometric rough paths / rank @@
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+Multidimensional Stochastic Processes as Rough Paths
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+Q4324333
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Incorporating signals into optimal trading
@@ Property / cites work: Incorporating signals into optimal trading / rank @@
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+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
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+Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
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+Strategic Cross-Trading in the U.S. Stock Market*
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+Algorithm 1004
@@ Property / cites work: Algorithm 1004 / rank @@
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+W3017773673
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