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Stochastic Control Approach to Futures Trading

Author

Listed:
  • Tim Leung

    (University of Washington, USA)

  • Yang Zhou

    (University of Washington, USA)

Abstract

Futures play an integral role in the financial markets. Tens of millions of contracts are traded on futures exchanges around the globe every day. In recent years, futures have been incorporated into a wide array of financial securities and have become the driving force behind their price dynamics. Managed futures portfolios and commodity trading advisors (CTAs), with hundreds of billions under management, are major parts of the hedge fund industry.

Suggested Citation

  • Tim Leung & Yang Zhou, 2024. "Stochastic Control Approach to Futures Trading," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 13579.
    • Handle: RePEc:wsi:wsbook:13579
    as

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