{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,16]],"date-time":"2026-04-16T10:54:20Z","timestamp":1776336860244,"version":"3.51.2"},"reference-count":26,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"2","funder":[{"DOI":"10.13039\/100012338","name":"Alan Turing Institute","doi-asserted-by":"publisher","award":["EP\/N510129\/1"],"award-info":[{"award-number":["EP\/N510129\/1"]}],"id":[{"id":"10.13039\/100012338","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2020,1]]},"DOI":"10.1137\/19m1259778","type":"journal-article","created":{"date-parts":[[2020,4,27]],"date-time":"2020-04-27T18:16:57Z","timestamp":1588011417000},"page":"470-493","source":"Crossref","is-referenced-by-count":31,"title":["Optimal Execution with Rough Path Signatures"],"prefix":"10.1137","volume":"11","author":[{"given":"Jasdeep","family":"Kalsi","sequence":"first","affiliation":[]},{"given":"Terry","family":"Lyons","sequence":"additional","affiliation":[]},{"given":"Imanol Perez","family":"Arribas","sequence":"additional","affiliation":[]}],"member":"351","published-online":{"date-parts":[[2020,4,27]]},"reference":[{"key":"atypb1","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2001.041"},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.1016\/j.matpur.2016.10.004"},{"key":"atypb3","doi-asserted-by":"publisher","DOI":"10.1142\/S2382626615500094"},{"key":"atypb4","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-017-0338-2"},{"key":"atypb5","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(97)00012-8"},{"key":"atypb6","doi-asserted-by":"publisher","DOI":"10.1016\/j.aim.2016.02.011"},{"key":"atypb8","doi-asserted-by":"publisher","DOI":"10.1137\/16M106282X"},{"key":"atypb9","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1032543"},{"key":"atypb10","doi-asserted-by":"publisher","DOI":"10.1137\/16M1058406"},{"key":"atypb11","doi-asserted-by":"publisher","DOI":"10.1007\/s11579-016-0162-z"},{"key":"atypb13","doi-asserted-by":"publisher","DOI":"10.1214\/15-AOP1068"},{"key":"atypb15","doi-asserted-by":"publisher","DOI":"10.1214\/11-AOP721"},{"key":"atypb16","doi-asserted-by":"publisher","DOI":"10.1214\/EJP.v10-162"},{"key":"atypb17","doi-asserted-by":"publisher","DOI":"10.1007\/s004400100158"},{"key":"atypb18","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2016.1181274"},{"key":"atypb19","doi-asserted-by":"publisher","DOI":"10.1142\/S2382626617500083"},{"key":"atypb21","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2016.02.011"},{"key":"atypb22","doi-asserted-by":"publisher","DOI":"10.1007\/s00440-005-0487-7"},{"key":"atypb25","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9965.2011.00478.x"},{"key":"atypb26","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-019-00382-7"},{"key":"atypb27","doi-asserted-by":"publisher","DOI":"10.4171\/RMI\/240"},{"key":"atypb30","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rft055"},{"key":"atypb31","doi-asserted-by":"publisher","DOI":"10.1145\/3371237"},{"key":"atypb33","doi-asserted-by":"publisher","DOI":"10.2307\/3029337"},{"key":"atypb34","first-page":"021006","volume":"1","author":"Toth B.","year":"2011","journal-title":"Phys. Rev. X"},{"key":"atypb35","first-page":"1949","volume":"65","author":"Tsoukalas G.","year":"2017","journal-title":"Manag. Sci."}],"container-title":["SIAM Journal on Financial Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/19M1259778","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,6,30]],"date-time":"2020-06-30T19:34:17Z","timestamp":1593545657000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/19M1259778"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,1]]},"references-count":26,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2020,1]]}},"alternative-id":["10.1137\/19M1259778"],"URL":"https:\/\/doi.org\/10.1137\/19m1259778","relation":{},"ISSN":["1945-497X"],"issn-type":[{"value":"1945-497X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,1]]}}}