Search Results for author: Owen Futter

Found 1 papers, 0 papers with code

Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals

no code implementations29 Aug 2023 Owen Futter, Blanka Horvath, Magnus Wiese

We achieve this by representing a trading strategy as a linear functional applied to the signature of a path (which we refer to as "Signature Trading" or "Sig-Trading").

PAIR TRADING

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