Signature Trading Strategies

Owen Futter () and Magnus Wiese
Additional contact information
Owen Futter: Imperial College London
Magnus Wiese: University of Kaiserslautern

A chapter in Signature Methods in Finance, 2026, pp 265-297 from Springer

Abstract: Abstract In this chapter, the primary objective is to recall the concept of a trading strategy and to extend this concept to the setting of signatures. We discuss how one can extend classical methods of optimal trading by tackling stochastic control problems through the lens of signatures, in order to incorporate path-dependencies. First introduced in (Signatures in machine learning and finance. PhD thesis, University of Oxford, 2020), the notion of a signature trading strategy allows to solve path-dependent optimization problems in a simple and explicit way. We first outline the key concepts of signature trading and highlight its associated benefits. Additionally, we present a solution to the mean-variance criterion and illustrate the advantages of signature-based methods using intuitive examples. Finally, we explore how signature trading strategies can be applied to obtain approximate solutions to optimal execution problems.

Date: 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-031-97239-3_8

Ordering information: This item can be ordered from
http://www.springer.com/9783031972393

DOI: 10.1007/978-3-031-97239-3_8

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().