Optimal execution with rough path signatures
We present a method for obtaining approximate solutions to the problem of optimal execution, 5 based on a signature method. The framework is general, only requiring that the price process is a 6 geometric rough path and the price impact function is a continuous function of the trading speed. 7 Follo...
| Päätekijät: | , , |
|---|---|
| Aineistotyyppi: | Journal article |
| Kieli: | English |
| Julkaistu: |
Society for Industrial and Applied Mathematics
2020
|