74 citations · 99 across the 8 of their papers we have counts for
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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…
cs.IT2015★ 2 cited
On the Geometric Ergodicity of Metropolis-Hastings Algorithms for Lattice Gaussian Sampling
Zheng Wang, Cong Ling
Sampling from the lattice Gaussian distribution is emerging as an important problem in coding and cryptography. In this paper, the classic Metropolis-Hastings (MH) algorithm from M…