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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…
q-fin.TR2025
Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
Konstantinos Chatziandreou, Sven Karbach
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electr…