6 papers
Optimal Timing to Trade Along a Randomized Brownian Bridge
Tim Leung, Jiao Li, Xin Li
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset pric…
Speculative Futures Trading under Mean Reversion
Tim Leung, Jiao Li, Xin Li +1
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-…
An asymmetric ARCH model and the non-stationarity of Clustering and Leverage effects
Xin Li, Carlos F. Tolmasky
We propose a new volatility model based on two stylized facts of the volatility in the stock market: clustering and leverage effect. We calibrate our model parameters, in the leadi…
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 Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung, Xin Li, Zheng Wang
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that in…
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…