Imanol Perez Arribas

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

  • University of Oxford - Mathematical Institute

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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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
XTX Markets, Mathematical Institute, University of Oxford and Oxford Man Institute, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 3,090 (7,126)
Citation 2

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market generator, signatures, rough path theory, neural networks

2.

Optimal Execution of Foreign Securities: A Double-Execution Problem

Number of pages: 38 Posted: 20 Apr 2020 Last Revised: 13 Dec 2021
Álvaro Cartea, Imanol Perez Arribas and Leandro Sánchez-Betancourt
University of Oxford, University of Oxford - Mathematical Institute and Mathematical Institute, University of Oxford
Downloads 1,075 (35,925)
Citation 2

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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
XTX Markets, Mathematical Institute, University of Oxford and Oxford Man Institute, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 1,024 (38,508)
Citation 12

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