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Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications


Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications

Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications
(Modern Trends in Financial Engineering) by Tim Leung, Xin Li
2016 | ISBN: 9814725919 | English | 220 pages | PDF | 58 MB


provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It isself-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.

Readership: Doctoral and master's students, advanced undergraduates, practitioners, and researchers in financial engineering, with a particular interest or specialization in algorithmic trading (especially pairs trading) and ETFs, futures, commodities, volatility derivatives and credit risk.

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Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications


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