Signature-linear trading policies for path-dependent statistical arbitrage reduce the execution problem to a finite-dimensional quadratic program and outperform classical z-score thresholds in experiments.
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Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals
Signature-linear trading policies for path-dependent statistical arbitrage reduce the execution problem to a finite-dimensional quadratic program and outperform classical z-score thresholds in experiments.