Double-execution strategies using path signatures
<p>We employ the expected signature of equity and foreign exchange markets to derive an optimal double-execution trading strategy. The signature of a path of a stochastic process is a sequence of real numbers that provides a full description of the evolution of the process. The double-executio...
| मुख्य लेखकों: | , , |
|---|---|
| स्वरूप: | Journal article |
| भाषा: | English |
| प्रकाशित: |
Society for Industrial and Applied Mathematics
2022
|