1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.CP2021★ 1 cited
Trading Signals In VIX Futures
M. Avellaneda, T. N. Li, A. Papanicolaou +1
We propose a new approach for trading VIX futures. We assume that the term structure of VIX futures follows a Markov model. Our trading strategy selects a position in VIX futures b…
q-fin.PM2019
Statistical Arbitrage for Multiple Co-Integrated Stocks
T. N. Li, A. Papanicolaou
In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being…