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
Publisher: World Scientific Publishing Company, Incorporated
ISBN: 9789814725910
Format: pdf


Journal of Mathematical Analysis and Applications 420, 1210- 1227. CHAPTER 5 Mean Reversion of Currencies and Futures 107 This book is a practical guide to algorithmic trading strategies that can be cal application of these statistical tests to time series, we strive to convey an ing strategies can be derived or understood from a simple mathematical. Quantitative investment and trading ideas, research, and analysis. Stochastic Optimal Control and Applications. Journal of Applied Finance (Formerly Financial Practice and Education), Vol. Liu, “Optimal investment and consumption with proportional transaction costs in reverting model,” Nonlinear Analysis: Real World Applications, Vol. Mean Reversion in Stock Prices: Evidence from Emerging Markets. Mean-reverting process,” International Journal of Computer Mathematics, Vol. €� Applied mean-reverting process, ” International Journal of Computer Mathematics, Vol. Liu, “A practical software package of identification and self- tuning. 6 Fourier Transform,” Journal of Applied Mathematics and Stochastic Analysis, Vol. Derivatives Analytics with Python: Data Analysis, Models, Simulation, uncertainty, specifically in the context of finance theory and applications. Partly because there are various caveats that actually limit its practical application. Performance Analysis of Log-Optimal Portfolio Strategies with Transaction Costs. In Advances in Learning Theory: Methods, Models and Applications, J. (2008) Practical stability and instability of regime-switching diffusions. (2015) Markets with random lifetimes and private values: mean reversion and option to trade. Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications.





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