英文标题：
《Optimal execution with rough path signatures》
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作者：
Jasdeep Kalsi and Terry Lyons and Imanol Perez Arribas
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最新提交年份：
2019
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英文摘要：
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact function is a continuous function of the trading speed. Following an approximation of the optimisation problem, we are able to calculate an optimal solution for the trading speed in the space of linear functions on a truncation of the signature of the price process. We provide strong numerical evidence illustrating the accuracy and flexibility of the approach. Our numerical investigation both examines cases where exact solutions are known, demonstrating that the method accurately approximates these solutions, and models where exact solutions are not known. In the latter case, we obtain favourable comparisons with standard execution strategies.
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中文摘要：
我们提出了一种基于签名方法获得最优执行问题近似解的方法。该框架是通用的，只要求价格过程是几何粗糙路径，价格影响函数是交易速度的连续函数。在对优化问题进行近似之后，我们能够在截断价格过程的签名后，在线性函数空间中计算交易速度的最优解。我们提供了强有力的数字证据，说明了该方法的准确性和灵活性。我们的数值研究既检验了精确解已知的情况，证明了该方法精确地逼近了这些解，也检验了精确解未知的模型。在后一种情况下，我们与标准执行策略进行了比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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