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Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications

Author

Listed:
  • Tim Leung

    (Columbia University, USA)

  • Xin Li

    (Columbia University, USA)

Abstract

No abstract is available for this item.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Tim Leung & Xin Li, 2016. "Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9839, August.
    • Handle: RePEc:wsi:wsbook:9839
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    Citations

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    Cited by:

    1. Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    2. Tim Leung & Yang Zhou, 2019. "Optimal dynamic futures portfolio in a regime-switching market framework," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
    3. Guo, Kevin & Leung, Tim, 2017. "Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 32-49.
    4. Yerkin Kitapbayev & Tim Leung, 2017. "Optimal mean-reverting spread trading: nonlinear integral equation approach," Annals of Finance, Springer, vol. 13(2), pages 181-203, May.
    5. Bahman Angoshtari & Tim Leung, 2020. "Optimal trading of a basket of futures contracts," Annals of Finance, Springer, vol. 16(2), pages 253-280, June.
    6. Azze, A. & D’Auria, B. & García-Portugués, E., 2024. "Optimal stopping of an Ornstein–Uhlenbeck bridge," Stochastic Processes and their Applications, Elsevier, vol. 172(C).
    7. Tim Leung & Raphael Yan, 2018. "Optimal dynamic pairs trading of futures under a two-factor mean-reverting model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-23, September.
    8. Tim Leung & Brian Ward, 2020. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 21, pages 557-596, World Scientific Publishing Co. Pte. Ltd..
    9. Stübinger, Johannes & Endres, Sylvia, 2017. "Pairs trading with a mean-reverting jump-diffusion model on high-frequency data," FAU Discussion Papers in Economics 10/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    10. Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
    11. Yerkin Kitapbayev & Tim Leung, 2018. "Mean Reversion Trading With Sequential Deadlines And Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-22, February.
    12. D'Auria, Bernardo & Guada Azze, Abel, 2021. "Optimal stopping of an Ornstein-Uhlenbeck bridge," DES - Working Papers. Statistics and Econometrics. WS 33508, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Jize Zhang & Tim Leung & Aleksandr Y. Aravkin, 2018. "Mean Reverting Portfolios via Penalized OU-Likelihood Estimation," Papers 1803.06460, arXiv.org.
    14. Jiao Li, 2016. "Trading VIX Futures under Mean Reversion with Regime Switching," Papers 1605.07945, arXiv.org, revised Jun 2016.
    15. Jamie Kang & Tim Leung, 2017. "Asynchronous ADRs: overnight vs intraday returns and trading strategies," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(4), pages 580-596, October.
    16. Jiao Li, 2016. "Trading VIX futures under mean reversion with regime switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-20, September.
    17. Tim Leung & Brian Ward, 2018. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(2), pages 180-212, March.
    18. Bahman Angoshtari & Tim Leung, 2019. "Optimal dynamic basis trading," Annals of Finance, Springer, vol. 15(3), pages 307-335, September.
    19. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
    20. Tim Leung & Yang Zhou, 2020. "Optimal dynamic futures portfolio in a regime-switching market framework," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, February.
    21. E. Boguslavskaya & M. Boguslavsky & D. Muravey, 2020. "Trading multiple mean reversion," Papers 2009.09816, arXiv.org.
    22. Peng Huang & Tianxiang Wang, 2016. "On the Profitability of Optimal Mean Reversion Trading Strategies," Papers 1602.05858, arXiv.org.

    Book Chapters

    The following chapters of this book are listed in IDEAS

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