VWAP Execution with Signature-Enhanced Transformers: A Multi-Asset Learning Approach

• URL: http://arxiv.org/abs/2503.02680v1
• Date: Tue, 04 Mar 2025 14:50:20 GMT
• Title: VWAP Execution with Signature-Enhanced Transformers: A Multi-Asset Learning Approach
• Authors: Remi Genet,
• Abstract summary: I propose a novel approach to Volume Weighted Average Price (VWAP) execution.<n>I demonstrate that a single neural network trained across multiple assets can achieve performance comparable to or better than traditional asset-specific models.
• Score: 0.0
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: In this paper I propose a novel approach to Volume Weighted Average Price (VWAP) execution that addresses two key practical challenges: the need for asset-specific model training and the capture of complex temporal dependencies. Building upon my recent work in dynamic VWAP execution arXiv:2502.18177, I demonstrate that a single neural network trained across multiple assets can achieve performance comparable to or better than traditional asset-specific models. The proposed architecture combines a transformer-based design inspired by arXiv:2406.02486 with path signatures for capturing geometric features of price-volume trajectories, as in arXiv:2406.17890. The empirical analysis, conducted on hourly cryptocurrency trading data from 80 trading pairs, shows that the globally-fitted model with signature features (GFT-Sig) achieves superior performance in both absolute and quadratic VWAP loss metrics compared to asset-specific approaches. Notably, these improvements persist for out-of-sample assets, demonstrating the model's ability to generalize across different market conditions. The results suggest that combining global parameter sharing with signature-based feature extraction provides a scalable and robust approach to VWAP execution, offering significant practical advantages over traditional asset-specific implementations.

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