Optimal execution with rough path signatures

7 March 2019
13:00
Imanol Perez

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Abstract

We consider a well-studied optimal execution problem under little assumptions on the underlying midprice process. We do so by using signatures from rough path theory, that allows converting the original problem into a more computationally tractable problem. We include a few numerical experiments where we show that our methodology is able to retrieve the theoretical optimal execution speed for several problems studied in the literature, as well as some cases not included in the literatture. We also study some estensions of our framework to other settings.
 

  • Mathematical and Computational Finance Internal Seminar