4 papers
Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions
Emily Crawford Das, Jingzhi Tie, Qing Zhang
This paper is concerned with an optimal strategy for simultaneously trading a pair of stocks. The idea of pairs trading is to monitor their price movements and compare their relati…
Pairs Trading: An Optimal Selling Rule with Constraints
Ruyi Liu, Jingzhi Tie, Zhen Wu +1
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short posi…
The Kohn-Laplacian and Cauchy-Szegö projection on Model Domains
Der-Chen Chang, Ji Li, Jingzhi Tie +1
We study the Kohn-Laplacian and its fundamental solution on some model domains in , and further discuss the explicit kernel of the Cauchy-Szegö projections on thes…
CR Sub-Laplacian Comparison and Liouville-type Theorem in a Complete Noncompact Sasakian Manifold
Shu-Cheng Chang, Ting-Jung Kuo, Chien Lin +1
In this paper, we first obtain the sub-Laplacian comparison theorem in a complete noncompact pseudohermitian manifold of vanishing torsion (i.e. Sasakian manifold). Secondly, we de…