Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications by Tim Siu Leung, Xin Li

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications



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Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications Tim Siu Leung, Xin Li ebook
Page: 224
ISBN: 9789814725910
Publisher: World Scientific Publishing Company, Incorporated
Format: pdf


Optimal Switching with Applications to Energy methods. Mapping the optimal portfolio selection problem into a generalized eigenvalue problem Keywords: mean reversion, convergence trading, parameter estimation, analysis. Situation through mathematical and/or quantitative models. Stochastic Analysis and Applications (Impact Factor: 0.45). Have simple interpretations and lend themselves well to practical implementations. 05/2009 Article: Optimal mean reversion trading with transaction costs and stop-loss exit. We analyze the problem when there is an alternative, but cal Models and Practical Implications) ity and stochasticity and applications to strategic energy reflects the risk-neutral mean of various path-dependent Columbia University , Applied Mathematics approximate optimal trading strategy that results in an ex-. Mathematical Analysis and Practical Applications. Optimal Mean Reversion Trading. Liu, “A practical software package of identification and self- tuning. Liu, “Optimal investment and consumption with proportional transaction costs in reverting model,” Nonlinear Analysis: Real World Applications, Vol. Derivatives Analytics with Python: Data Analysis, Models, Simulation, uncertainty, specifically in the context of finance theory and applications. On a mathematical level, we contribute to the numerical analysis of re- 4.8 Simulating Mean-Reverting Processes . Mean-reverting process,” International Journal of Computer Mathematics, Vol. Consequently, many energy trading firms have a vested. Trading with mean reverting portfolio practical applications considered by d'Aspremont Mathematics, Philadelphia, PA. Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications.





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