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)
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    DOI
    10.1137/19M1259778
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    publication date
    8 June 2020
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    zbMATH DE Number
    7209462
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    zbMATH Keywords
    optimal execution
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    rough path theory
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    signatures
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    high-frequency trading
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    arXiv ID
    1905.00728
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