Double-Execution Strategies Using Path Signatures

DOI10.1137/21M1456467MaRDI QIDQ5872884zbMATH OpenFDO

Authors Álvaro Cartea, Imanol Perez Arribas, Leandro Sánchez-Betancourt

Publication date 4 January 2023

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

zbMATH Keywords

machine learninghigh-frequency tradingprice impactoptimal executionsignalssignaturescryptocurrency

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• Algorithmic and high-frequency trading
• Algorithmic trading with model uncertainty
• Deep hedging
• Deep learning
• Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
• 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.
• Incorporating order-flow into optimal execution
• Non-parametric pricing and hedging of exotic derivatives
• Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• Optimal execution and block trade pricing: a general framework
• Optimal execution with dynamic order flow imbalance
• Optimal execution with rough path signatures
• Optimal execution with stochastic delay
• Optimal market making
• Optimal portfolio liquidation with limit orders
• Rough paths, signatures and the modelling of functions on streams
• The financial mathematics of market liquidity. From optimal execution to market making
• The signature of a rough path: uniqueness
• Trading foreign exchange triplets

Cited in

(3)

• Optimal execution with rough path signatures
• Optimal execution with stochastic delay
• Signature-based validation of real-world economic scenarios

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