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.

Following Grothendieck, periods can be interpreted as numbers arising as coefficients of a comparison isomorphism between two cohomology theories. Due to the influence of the “yoga of motives” these numbers are omnipresent in arithmetic algebraic geometry. The first part of the talk will be a crash course on how to study periods, as well as the action of the motivic Galois group on them, via an elementary category of realizations. In the second part, we will see how one uses this framework to study Feynman integrals -- an interesting family of periods arising in quantum field theory. We will finish with a brief overview of some of the recent work in algebraic geometry inspired by the study of periods arising in physics.