42 citations · 144 across the 29 of their papers we have counts for
5 papers · 1 filter
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…
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…
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
Kevin Guo, Tim Leung
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems fr…
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
Tim Leung, Xin Li, Zheng Wang
This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal…
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
Tim Leung, Xin Li
Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a mean-reverting price spread. An optimal double stopping problem is formula…