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Optimal mean reversion trading : mathematical analysis and practical applications

Leung, Tim; Li, Xin; Li, Xin - 2016

Preface -- Introduction -- Trading under the Ornstein-Uhlenbeck model -- Trading under the exponential OU model -- Trading under the CIR model -- Futures trading under mean reversion -- Optimal liquidation of options -- Trading credit derivatives -- Bibliography -- Index

Persistent link: https://www.econbiz.de/10012875844

Design theory for market surveillance systems

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A commonsense knowledge-enabled textual analysis approach for financial market surveillance

Li, Xin; Chen, Kun; Sun, Sherry X.; Fung, Terrance; … - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 278-294

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News-induced dynamic networks for market signaling : understanding the impact of news on firm equity value

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Unintended emotional effects of online health communities : a text mining-supported empirical study

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What in consumer reviews affects the sales of mobile apps : a multifacet sentiment analysis approach

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Forecasting technology trends using text mining of the gaps between science and technology : the case of perovskite solar cell technology

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Speculative futures trading under mean reversion

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Optimal starting-stopping and switching of a CIR process with fixed costs

Leung, Tim; Li, Xin; Wang, Zheng - In: Risk and decision analysis 5 (2014) 2/3, pp. 149-161

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Optimal mean reversion trading with transaction costs and stop-loss exit

Leung, Tim; Li, Xin - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

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