3 papers
q-fin.MF2018
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…
q-fin.CP2016
Trading VIX Futures under Mean Reversion with Regime Switching
Jiao Li
This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switch…
q-fin.MF2016
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-…