Optimal Execution with Rough Path Signatures

Jasdeep Kalsi; Terry Lyons; Imanol Perez Arribas

doi:10.1137/19m1259778

Optimal Execution with Rough Path Signatures

SIAM Journal on Financial Mathematics ◽

10.1137/19m1259778 ◽

2020 ◽

Vol 11 (2) ◽

pp. 470-493

Author(s):

Jasdeep Kalsi ◽

Terry Lyons ◽

Imanol Perez Arribas

Keyword(s):

Optimal Execution ◽

Rough Path

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Optimal Execution of Statistical Arbitrage Strategies with Stochastic Trading Volume

SSRN Electronic Journal ◽

10.2139/ssrn.2326947 ◽

2013 ◽

Author(s):

James Eustace ◽

Peter F. Pope ◽

Stephen E. Satchell

Keyword(s):

Trading Volume ◽

Statistical Arbitrage ◽

Optimal Execution

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Requirements for optimal execution of oops with tests

Proceedings of the 2nd international conference on Supercomputing - ICS '88 ◽

10.1145/55364.55387 ◽

1988 ◽

Cited By ~ 3

Author(s):

A. Uht

Keyword(s):

Optimal Execution

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A K-rough path above the space-time fractional Brownian motion

Stochastic Partial Differential Equations Analysis and Computations ◽

10.1007/s40072-020-00186-3 ◽

2021 ◽

Author(s):

Xia Chen ◽

Aurélien Deya ◽

Cheng Ouyang ◽

Samy Tindel

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Space Time ◽

Rough Path

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Optimal execution of large scale simulations in the cloud. The case of ROUTE-TO-PA SIM online preference simulation

2016 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2016.7822408 ◽

2016 ◽

Author(s):

Przemyslaw Szufel ◽

Marcin Czupryna ◽

Bogumil Kaminski

Keyword(s):

Large Scale ◽

Optimal Execution ◽

Large Scale Simulations

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Optimal execution of portfolio trades

Conference Record of the Thirty-First Asilomar Conference on Signals, Systems and Computers (Cat. No.97CB36136) ◽

10.1109/acssc.1997.680575 ◽

2002 ◽

Author(s):

J.T. Rickard ◽

W.A. Lupien ◽

G.A. Wallace

Keyword(s):

Optimal Execution

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OPTIMAL EXECUTION HORIZON

Mathematical Finance ◽

10.1111/mafi.12045 ◽

2013 ◽

Vol 25 (3) ◽

pp. 640-672 ◽

Cited By ~ 6

Author(s):

David Easley ◽

Marcos Lopez de Prado ◽

Maureen O'Hara

Keyword(s):

Optimal Execution

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Averaging principle for fast-slow system driven by mixed fractional Brownian rough path

Journal of Differential Equations ◽

10.1016/j.jde.2021.08.006 ◽

2021 ◽

Vol 301 ◽

pp. 202-235

Author(s):

Bin Pei ◽

Yuzuru Inahama ◽

Yong Xu

Keyword(s):

Averaging Principle ◽

Rough Path ◽

Slow System

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Optimal Execution and Block Trade Pricing: A General Framework

Applied Mathematical Finance ◽

10.1080/1350486x.2015.1042188 ◽

2015 ◽

Vol 22 (4) ◽

pp. 336-365 ◽

Cited By ~ 9

Author(s):

Olivier Guéant

Keyword(s):

General Framework ◽

Optimal Execution ◽

Block Trade

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Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models

SSRN Electronic Journal ◽

10.2139/ssrn.2840290 ◽

2016 ◽

Cited By ~ 1

Author(s):

Damiano Brigo ◽

Cllment Piat

Keyword(s):

Optimal Execution

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OPTIMAL EXECUTION STRATEGY WITH LINEAR PRICE IMPACT FUNCTIONS

Transactions of the Operations Research Society of Japan ◽

10.15807/torsj.50.100 ◽

2007 ◽

Vol 50 (0) ◽

pp. 100-122

Author(s):

Norio Hibiki

Keyword(s):

Price Impact ◽

Optimal Execution ◽

Execution Strategy

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