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q-fin.TR2017
Mean Reversion Trading with Sequential Deadlines and Transaction Costs
Yerkin Kitapbayev, Tim Leung
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price proces…
q-fin.TR2017
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
Tim Leung, Yerkin Kitapbayev
We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we an…