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q-fin.ST2015
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…
q-fin.TR2015
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…