Imanol Perez Arribas

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

621

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Generating financial markets with signatures

Number of pages: 13
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 297

Abstract:

Loading...

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
Álvaro Cartea, Imanol Perez Arribas and Leandro Sánchez-Betancourt
University of Oxford, University of Oxford - Mathematical Institute and University of Oxford
Downloads 270 (123,618)

Abstract:

Loading...

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: 27 Posted: 14 Jul 2020
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 54 (414,322)

Abstract:

Loading...