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20182026
most citedHeavy tailed distributions in closing auctions

1 citations · 2 across the 4 of their papers we have counts for

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q-fin.TR2026

Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals

Gianmarco Morbelli, Sven Karbach, Mike Derksen

We develop a signature-based framework for optimal execution in statistical arbitrage strategies with path-dependent predictive signals. Both the alpha process and the trading spee…