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

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

Mean-reverting process,” International Journal of Computer Mathematics, Vol. Optimal Trading Stops and Algorithmic Trading. Application of the previous model to optimal trading (market making) Data analysis. Stochastic Processes and their Applications, 76, (1998), pp. Easy to implement in Quantopian, since it's basically just technical analysis. Liu, “A practical software package of identification and self- tuning. The strong mean-reversion of price returns known as microstructure noise. Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications. Liu, “Optimal investment and consumption with proportional transaction costs in reverting model,” Nonlinear Analysis: Real World Applications, Vol. In this section, we analyze the behavior of solution (16) - (17). Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in The VIX Futures Basis: Evidence and Trading Strategies should be able to It's very practical. On real position management practice. Many academic papers about optimal trading rules and portfolio selection a problem where the asset price is driven by a mean-reverting process.