This repository contains code relating the paper
Kalsi, J., Lyons, T. and Perez Arribas, I., 2020. Optimal execution with rough path signatures. SIAM Journal on Financial Mathematics, 11(2), pp.470-493.
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, with minimal assumptions about the underlying asset. Following an approximation of the optimization problem, we calculate an optimal solution for the trading speed using the so-called signature trading strategies.
Working demos are located in the form of Jupyter notebooks in the directory /notebooks. The directory /src contains the source code for the project.
This project has lead to other spin-off projects. For instance, this repository contains the code for a certain double-execution problem that was solved using the methods proposed in this repository/paper.