Optimal Execution with Rough Path Signatures (2020)
Attributed to:
Unparameterised multi-modal data, high order signatures, and the mathematics of data science
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1137/19m1259778
Publication URI: http://dx.doi.org/10.1137/19m1259778
Type: Journal Article/Review
Parent Publication: SIAM Journal on Financial Mathematics
Issue: 2
ISSN: 1945-497X