Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals
Updated
Updated · arxiv.org · Jul 21
Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals
1 articles · Updated · arxiv.org · Jul 21
Summary
Researchers have developed a signature-based framework for optimal execution in statistical arbitrage strategies using path-dependent trading signals.
The approach models both alpha signals and trading speed as linear functionals of truncated path signatures, reducing the execution problem to a finite-dimensional quadratic programme.
Synthetic and historical equity pairs-trading experiments show the method outperforms classical benchmarks, offering a more adaptive and efficient execution solution.