42 citations · 144 across the 29 of their papers we have counts for
4 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…
Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Tim Leung, Brian Ward
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pat…
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…
Optimal Trading with a Trailing Stop
Tim Leung, Hongzhong Zhang
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we st…