{"id":"https://openalex.org/W2943034797","doi":"https://doi.org/10.1137/19m1259778","title":"Optimal Execution with Rough Path Signatures","display_name":"Optimal Execution with Rough Path Signatures","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W2943034797","doi":"https://doi.org/10.1137/19m1259778","mag":"2943034797"},"language":"en","primary_location":{"id":"doi:10.1137/19m1259778","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1259778","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://arxiv.org/pdf/1905.00728","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049674618","display_name":"Jasdeep Kalsi","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Jasdeep Kalsi","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5033716148","display_name":"Terry Lyons","orcid":"https://orcid.org/0000-0002-9972-2809"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Terry Lyons","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5077371715","display_name":"Imanol P\u00e9rez Arribas","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Imanol Perez Arribas","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5049674618"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.2387,"has_fulltext":true,"cited_by_count":3,"citation_normalized_percentile":{"value":0.56882103,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":"11","issue":"2","first_page":"470","last_page":"493"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.993399977684021,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.993399977684021,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9907000064849854,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9890000224113464,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/truncation","display_name":"Truncation (statistics)","score":0.7450342178344727},{"id":"https://openalex.org/keywords/signature","display_name":"Signature (topology)","score":0.7338640689849854},{"id":"https://openalex.org/keywords/flexibility","display_name":"Flexibility (engineering)","score":0.6180739998817444},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5903398990631104},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.5808854699134827},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.5775879621505737},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5646640062332153},{"id":"https://openalex.org/keywords/path","display_name":"Path (computing)","score":0.5579826831817627},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3689368963241577},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.330823689699173},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.31747710704803467},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08012548089027405},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.07921913266181946}],"concepts":[{"id":"https://openalex.org/C106195933","wikidata":"https://www.wikidata.org/wiki/Q7847935","display_name":"Truncation (statistics)","level":2,"score":0.7450342178344727},{"id":"https://openalex.org/C2779696439","wikidata":"https://www.wikidata.org/wiki/Q7512811","display_name":"Signature (topology)","level":2,"score":0.7338640689849854},{"id":"https://openalex.org/C2780598303","wikidata":"https://www.wikidata.org/wiki/Q65921492","display_name":"Flexibility (engineering)","level":2,"score":0.6180739998817444},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5903398990631104},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.5808854699134827},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.5775879621505737},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5646640062332153},{"id":"https://openalex.org/C2777735758","wikidata":"https://www.wikidata.org/wiki/Q817765","display_name":"Path (computing)","level":2,"score":0.5579826831817627},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3689368963241577},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.330823689699173},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.31747710704803467},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08012548089027405},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.07921913266181946},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1137/19m1259778","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1259778","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:1905.00728","is_oa":true,"landing_page_url":null,"pdf_url":"http://arxiv.org/pdf/1905.00728","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1905.00728","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1905.00728","pdf_url":"https://arxiv.org/pdf/1905.00728","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"mag:2943034797","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1905.00728.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3122935334","is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:arx:papers:1905.00728","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"doi:10.48550/arxiv.1905.00728","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1905.00728","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:RePEc:arx:papers:1905.00728","is_oa":true,"landing_page_url":null,"pdf_url":"http://arxiv.org/pdf/1905.00728","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1633672591","display_name":null,"funder_award_id":"N510129","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G3855435662","display_name":null,"funder_award_id":"N510129","funder_id":"https://openalex.org/F4320313467","funder_display_name":"Alan Turing Institute"},{"id":"https://openalex.org/G4072067573","display_name":null,"funder_award_id":"EP/N510129/1","funder_id":"https://openalex.org/F4320313467","funder_display_name":"Alan Turing Institute"},{"id":"https://openalex.org/G444630160","display_name":null,"funder_award_id":"EP/N510129/","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G4500485203","display_name":"The Alan Turing Institute","funder_award_id":"EP/N510129/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G5005012656","display_name":null,"funder_award_id":"EP/S026347/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"},{"id":"https://openalex.org/G8597009950","display_name":null,"funder_award_id":"EP/N510129/1","funder_id":"https://openalex.org/F4320334627","funder_display_name":"Engineering and Physical Sciences Research Council"}],"funders":[{"id":"https://openalex.org/F4320313467","display_name":"Alan Turing Institute","ror":"https://ror.org/035dkdb55"},{"id":"https://openalex.org/F4320334627","display_name":"Engineering and Physical Sciences Research Council","ror":"https://ror.org/0439y7842"}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2943034797.pdf"},"referenced_works_count":34,"referenced_works":["https://openalex.org/W337289788","https://openalex.org/W617501864","https://openalex.org/W781558514","https://openalex.org/W1929167035","https://openalex.org/W1973898185","https://openalex.org/W1977726118","https://openalex.org/W1988270113","https://openalex.org/W2001770658","https://openalex.org/W2004095444","https://openalex.org/W2012244785","https://openalex.org/W2116102765","https://openalex.org/W2132940048","https://openalex.org/W2165005350","https://openalex.org/W2292370562","https://openalex.org/W2292975184","https://openalex.org/W2294618471","https://openalex.org/W2402405276","https://openalex.org/W2461502110","https://openalex.org/W2605461924","https://openalex.org/W2605897044","https://openalex.org/W2962910798","https://openalex.org/W2964143464","https://openalex.org/W3010733326","https://openalex.org/W3102171950","https://openalex.org/W3104291232","https://openalex.org/W3121333784","https://openalex.org/W3123296813","https://openalex.org/W3123772657","https://openalex.org/W3124439958","https://openalex.org/W3124646725","https://openalex.org/W3125207175","https://openalex.org/W3125653313","https://openalex.org/W3125789262","https://openalex.org/W4244779605"],"related_works":["https://openalex.org/W3122935334","https://openalex.org/W1857596531","https://openalex.org/W2186894420","https://openalex.org/W3124336905","https://openalex.org/W2091207536","https://openalex.org/W2947336722","https://openalex.org/W2597535316","https://openalex.org/W2019872637","https://openalex.org/W1964644507","https://openalex.org/W3135672698","https://openalex.org/W1528819843","https://openalex.org/W2017315820","https://openalex.org/W3121614027","https://openalex.org/W2613219318","https://openalex.org/W1429214046","https://openalex.org/W3105721401","https://openalex.org/W158982165","https://openalex.org/W2911813576","https://openalex.org/W3138666969","https://openalex.org/W2982734410"],"abstract_inverted_index":{"We":[0,79],"present":[1],"a":[2,16,30,40,70],"method":[3,106],"for":[4,59],"obtaining":[5],"approximate":[6],"solutions":[7,100,115],"to":[8],"the":[9,26,35,44,51,60,64,73,76,85,90,105,117,125],"problem":[10],"of":[11,43,50,66,72,75,89,116],"optimal":[12,57,118],"execution,":[13],"based":[14],"on":[15,69],"signature":[17,74],"method.":[18],"The":[19],"framework":[20],"is":[21,29,39],"general,":[22],"only":[23],"requiring":[24],"that":[25,104],"price":[27,36,77],"process":[28],"geometric":[31],"rough":[32],"path":[33],"and":[34,87,111],"impact":[37],"function":[38,42],"continuous":[41],"trading":[45,61,119],"speed.":[46],"Following":[47],"an":[48,56],"approximation":[49],"optimization":[52],"problem,":[53],"we":[54,128],"calculate":[55],"solution":[58],"speed":[62,120],"in":[63],"space":[65],"linear":[67],"functions":[68],"truncation":[71],"process.":[78],"provide":[80],"strong":[81],"numerical":[82,93],"evidence":[83],"illustrating":[84],"accuracy":[86],"flexibility":[88],"approach.":[91],"Our":[92],"investigation":[94],"both":[95],"examines":[96],"cases":[97],"where":[98,113],"exact":[99],"are":[101,121],"known,":[102],"demonstrating":[103],"accurately":[107],"approximates":[108],"these":[109],"solutions,":[110],"models":[112],"closed-form":[114],"not":[122],"known.":[123],"In":[124],"latter":[126],"case,":[127],"obtain":[129],"favorable":[130],"comparisons":[131],"with":[132],"standard":[133],"execution":[134],"strategies.":[135]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2026-04-10T15:06:20.359241","created_date":"2025-10-10T00:00:00"}