Double-Execution Strategies Using Path Signatures

DOI10.1137/21M1456467zbMath1505.91360MaRDI QIDQ5872884

Álvaro Cartea, Leandro Sánchez-Betancourt, Imanol Perez Arribas

Publication date: 4 January 2023

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

zbMATH Keywords

signalsmachine learningsignatureshigh-frequency tradingprice impactoptimal executioncryptocurrency

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Optimal execution with stochastic delay

Cites Work

• The signature of a rough path: uniqueness
• Incorporating order-flow into optimal execution
• 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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• Rough paths, Signatures and the modelling of functions on streams
• Algorithmic Trading with Model Uncertainty
• Optimal market making
• Optimal Execution and Block Trade Pricing: A General Framework
• Optimal Portfolio Liquidation with Limit Orders
• 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 Execution with Rough Path Signatures
• Trading Foreign Exchange Triplets
• Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
• Deep hedging
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
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