Time-augmented Brownian signatures admit entire signature expansions of conditional Fourier-Laplace transforms and local Riccati expansions of their logs, with global recovery via recentered randomized Riccati equations.
arXiv preprint arXiv:2306.05433 , year=
3 Pith papers cite this work. Polarity classification is still indexing.
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Any randomized strategy in N-trader optimal execution games can be strictly improved by its non-randomized average, so equilibria must be pure and are unique when the impact kernel is strictly positive definite and trading costs are convex.
In the Obizhaeva-Wang transient-impact model, N-player execution games admit unique closed-form equilibria under instantaneous-cost regularization; equilibrium is restored exactly by a derived time-dependent block-trade cost that is the limit of regularized equilibria and does not vanish as the cost
citing papers explorer
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Affine Structure of the Brownian Signature
Time-augmented Brownian signatures admit entire signature expansions of conditional Fourier-Laplace transforms and local Riccati expansions of their logs, with global recovery via recentered randomized Riccati equations.
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Randomization in Optimal Execution Games
Any randomized strategy in N-trader optimal execution games can be strictly improved by its non-randomized average, so equilibria must be pure and are unique when the impact kernel is strictly positive definite and trading costs are convex.
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Optimal Execution among $N$ Traders with Transient Price Impact
In the Obizhaeva-Wang transient-impact model, N-player execution games admit unique closed-form equilibria under instantaneous-cost regularization; equilibrium is restored exactly by a derived time-dependent block-trade cost that is the limit of regularized equilibria and does not vanish as the cost