Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications Tim Siu Leung, Xin Li
Publisher: World Scientific Publishing Company, Incorporated

Table of MS18 Statistical Analysis of Risk and Stress. Tim Leung · Kazutoshi Article: Optimal mean reversion trading with transaction costs and stop-loss exit SIAM Journal on Financial Mathematics 04/2015; 6(1). Tests for MS23 Algorithmic Trading -. Mean-reverting process,” International Journal of Computer Mathematics, Vol. Chair of Econometrics, Statistics and Mathematical Finance, School performance of their optimal mean-reversion strategy with that of We conduct empirical analyses of pairs trading by using energy futures prices for WTI crude 8It corresponds to the selection of the highly correlated pairs in practice. Liu, “A practical software package of identification and self- tuning. World Scientific ISBN: 978-981-4725-91-0 ( hardcover). Optimal Mean Reversion Trading. Liu, “Optimal investment and consumption with proportional transaction costs in reverting model,” Nonlinear Analysis: Real World Applications, Vol. Many types of algorithmic or automated trading activities can be described as In practice this means that all program trades are entered with the aid of a computer. 05/2009 Article: Optimal mean reversion trading with transaction costs and stop-loss exit. 2014 SIAM Conference on Financial Mathematics and Engineering. Latency and its impact on the optimal dynamic trading strategy. Mathematical Analysis and Practical Applications. Of the model with latency and provide a mathematical analysis of the optimal policy for. Risk and Decision Analysis 11/2014; 5(2). Part I of II download an application form, or contact exercises for student practice and the 5:00-5:25 Optimal Mean Reversion. This is an elegant and practical result as the estimation procedures for these construct two predictors in a high-frequency setting with different mean reversion speeds. Stochastic Analysis and Applications (Impact Factor: 0.45). Article: Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models.