Imanol Perez Arribas

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 27,060

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2,309

SSRN CITATIONS

5

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Generating Financial Markets With Signatures

Number of pages: 9 Posted: 28 Aug 2020 Last Revised: 01 Jun 2021
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 1,166 (22,711)
Citation 2

Abstract:

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market generator, signatures, rough path theory, neural networks

2.

Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning

Number of pages: 38 Posted: 20 Apr 2020 Last Revised: 10 May 2021
Álvaro Cartea, Imanol Perez Arribas and Leandro Sánchez-Betancourt
University of Oxford, University of Oxford - Mathematical Institute and Imperial College London - Department of Mathematics
Downloads 604 (56,405)
Citation 2

Abstract:

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Optimal execution, price impact, machine learning, high-frequency trading, signatures, cryptocurrency, illiquidity

3.

A Data-Driven Market Simulator for Small Data Environments

Number of pages: 12 Posted: 14 Jul 2020 Last Revised: 01 Jun 2021
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 539 (64,878)
Citation 3

Abstract:

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