Optimal execution with rough path signatures

A path-valued markov process and its connections with partial differential equations

Jean-François Le Gall · 1994

Earlier work this paper cites.

Optimal control of execution costs

Dimitris Bertsimas and Andrew W Lo · 1998

Earlier work this paper cites.

Differential equations driven by rough signals

Terry J. Lyons · 1998

Earlier work this paper cites.

Optimal execution of portfolio transactions

Robert Almgren and Neil Chriss · 2001

Earlier work this paper cites.

Stochastic analysis, rough path analysis and fractional brownian motions

Laure Coutin and Zhongmin Qian · 2002

Earlier work this paper cites.

Semi-martingales and rough paths theory

Laure Coutin and Antoine Lejay · 2005

Earlier work this paper cites.

Differential equations driven by rough paths

T. J. Lyons, Michael J. Caruana, Thierry Lévy, and École d’été de probabilités de Saint-Flour · 2007

Earlier work this paper cites.

Functional itô calculus

Bruno Dupire · 2009

Earlier work this paper cites.

Multidimensional Stochastic Processes as Rough Paths: Theory and Applications

Peter K. Friz and Nicolas B. Victoir · 2010

Earlier work this paper cites.

Anomalous price impact and the critical nature of liquidity in financial markets

Bence Toth, Yves Lemperiere, Cyril Deremble, Joachim de Lataillade, Julien Kockelkoren, and Jean-Philippe Bouchaud · 2011

Earlier work this paper cites.

Transient linear price impact and fredholm integral equations

Jim Gatheral, Alexander Schied, and Alla Slynko · 2012

Earlier work this paper cites.

Functional ito calculus and stochastic integral representation of martingales

Rama Cont and David-Antoine Fournié · 2013

Cited alongside, same era.

Market impacts and the life cycle of investors orders

Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier, and Charles-Albert Lehalle · 2015

Cited alongside, same era.

Optimal execution with limit and market orders

Álvaro Cartea and Sebastian Jaimungal · 2015

Cited alongside, same era.

Algorithmic and High-Frequency Trading

Alvaro Cartea, Sebastian Jaimungal, and José Penalva · 2015

Cited alongside, same era.

Strategic cross-trading in the u.s. stock market

Paolo Pasquariello and Clara Vega · 2015

Cited alongside, same era.

The signature of a rough path: uniqueness

Horatio Boedihardjo, Xi Geng, Terry Lyons, and Danyu Yang · 2016

Cited alongside, same era.

Pathwise integration with respect to paths of finite quadratic variation

Anna Ananova and Rama Cont · 2017

Later among the works it cites.

Pathwise superreplication via vovk’s outer measure

Mathias Beiglböck, Alexander MG Cox, Martin Huesmann, Nicolas Perkowski, and David J Prömel · 2017

Later among the works it cites.

Algorithmic trading with model uncertainty

Álvaro Cartea, Ryan Francis Donnelly, and Sebastian Jaimungal · 2017

Later among the works it cites.

Optimal execution with non-linear transient market impact

Gianbiagio Curato, Jim Gatheral, and Fabrizio Lillo · 2017

Later among the works it cites.

Optimal execution with transient impact

Ngoc-Minh Dang · 2017

Later among the works it cites.

General rough integration, lévy rough paths and a lévy–kintchine-type formula

Peter K. Friz and Atul Shekhar · 2017

Later among the works it cites.