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~person:"Leung, Tim"
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Leung, Tim
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1
Optimal Mean Reversion Trading : Mathematical Analysis and Practical Applications
Leung, Tim
-
2019
This book provides a systematic study on the optimal timing of trades in markets with
mean-reverting
price dynamics. We …
Persistent link: https://www.econbiz.de/10012903969
Saved in:
2
Mean
Reverting
Portfolios via Penalized OU-Likelihood Estimation
Zhang, Jize
-
2019
We study an optimization-based approach to construct a
mean-reverting
portfolio of assets. Our objectives are threefold …
Persistent link: https://www.econbiz.de/10012899764
Saved in:
3
Mean Reversion Trading with Sequential Deadlines and Transaction Costs
Kitapbayev, Yerkin
-
2019
We study the optimal timing strategies for trading a
mean-reverting
price process with a finite deadline to enter and a …
Persistent link: https://www.econbiz.de/10012901601
Saved in:
4
Optimal Risk-Averse Timing of an Asset Sale : Trending vs
Mean-Reverting
Price Dynamics
Leung, Tim
-
2019
motion and exponential Ornstein-Uhlenbeck models – to account for, respectively, the trending and
mean-reverting
price …
Persistent link: https://www.econbiz.de/10012903295
Saved in:
5
On the efficacy of optimized exit rule for mean reversion trading
Lee, Donovan
;
Leung, Tim
- In:
International journal of financial engineering
7
(
2020
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012603008
Saved in:
6
Speculative Futures Trading Under Mean Reversion
Leung, Tim
-
2016
This paper studies the problem of trading futures with transaction costs when the underlying spot price is
mean-reverting
…
Persistent link: https://www.econbiz.de/10013002893
Saved in:
7
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
Leung, Tim
-
2015
Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a
mean-reverting
…
Persistent link: https://www.econbiz.de/10013035930
Saved in:
8
Optimal dynamic pairs trading of futures under a two-factor
mean-reverting
model
Leung, Tim
;
Yan, Raphael
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011923058
Saved in:
9
Mean reversion trading with sequential deadlines and transaction costs
Kitapbayev, Yerkin
;
Leung, Tim
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011846482
Saved in:
10
Asynchronous ADRs : overnight vs intraday returns and trading strategies
Kang, Jamie
;
Leung, Tim
- In:
Studies in economics and finance
34
(
2017
)
4
,
pp. 580-596
Persistent link: https://www.econbiz.de/10011961106
Saved in:
1
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