Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications

Mathematical Analysis and Practical Applications

Leung, Tim Siu-tang (University Of Washington, Li, Xin (Columbia Univ - Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications
Leung, Tim Siu-tang (University Of Washington, Li, Xin (Columbia Univ - Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications
Leung, Tim Siu-tang (University Of Washington, Li, Xin (Columbia Univ - Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications
Leung, Tim Siu-tang (University Of Washington, Li, Xin (Columbia Univ - Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications

Description

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.
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Gebonden
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Writer
Leung, Tim Siu-tang (University Of Washington, Li, Xin (Columbia Univ
Title
Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications
Publisher
World Scientific Publishing Co Pte Ltd
Year
2016
Language
English
Pages
222
Weight
470 gr
EAN
9789814725910
Dimensions
235 x 158 x 20 mm
Binding format
Gebonden

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