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Stochastic Models Volume 31, 2015 - Issue 4
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Original Articles

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

Tim LeungIEOR Department, Columbia University, New York, New York, USACorrespondence[email protected]
,
Xin LiIEOR Department, Columbia University, New York, New York, USA
&
Zheng WangIEOR Department, Columbia University, New York, New York, USA
Pages 554-587 | Received 01 Aug 2014, Accepted 01 Jun 2015, Published online: 16 Jul 2015

Citations (25)

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Read on this site (1)

Sergey Isaenko. (2018) Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations. Quantitative Finance 18:12, pages 2051-2065.
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Articles from other publishers (24)

Alex S. L. Tse & Harry Zheng. (2022) Speculative trading, prospect theory and transaction costs. Finance and Stochastics 27:1, pages 49-96.
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Tim Leung & Hongzhong Zhang. (2019) Optimal Trading with a Trailing Stop. Applied Mathematics & Optimization 83:2, pages 669-698.
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Zuo Quan Xu & Fahuai Yi. (2020) Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty. Mathematics of Operations Research 45:1, pages 384-401.
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Xuedong He & Linan Yang. (2019) Realization utility with adaptive reference points. Mathematical Finance 29:2, pages 409-447.
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Tim Leung & Zheng Wang. (2018) Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics. Annals of Finance 15:1, pages 1-28.
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Phong Luu, Jingzhi Tie & Qing Zhang. (2018) A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs. Risks 6:4, pages 107.
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YERKIN KITAPBAYEV & TIM LEUNG. (2018) MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS. International Journal of Theoretical and Applied Finance 21:01, pages 1850004.
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Kevin Guo & Tim Leung. (2017) Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options. Journal of Commodity Markets 6, pages 32-49.
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Tim Leung & Zongxi Li. (2017) Timing options for a startup with early termination and competition risks. Risk and Decision Analysis 6:2, pages 151-166.
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Yerkin Kitapbayev & Tim Leung. (2017) Optimal mean-reverting spread trading: nonlinear integral equation approach. Annals of Finance 13:2, pages 181-203.
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Tim Leung, Jiao Li, Xin Li & Zheng Wang. (2016) Speculative Futures Trading under Mean Reversion. Asia-Pacific Financial Markets 23:4, pages 281-304.
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Jiao Li. (2016) Trading VIX futures under mean reversion with regime switching. International Journal of Financial Engineering 03:03, pages 1650021.
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Yerkin Kitapbayev & Tim Leung. (2018) Mean Reversion Trading with Sequential Deadlines and Transaction Costs. SSRN Electronic Journal.
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Tim Leung & Hongzhong Zhang. (2017) Optimal Trading with a Trailing Stop. SSRN Electronic Journal.
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Yerkin Kitapbayev & Tim Leung. (2016) Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. SSRN Electronic Journal.
Crossref
Kevin Guo & Tim Leung. (2016) Understanding the Non-Convergence of Agricultural Futures Via Stochastic Storage Costs and Timing Options. SSRN Electronic Journal.
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Shaily Chawla. (2016) Investigating the Price Dynamics between Europe ETFs: EZU vs FEZ. SSRN Electronic Journal.
Crossref
Sergey Isaenko. (2016) Optimal Mean-Reversion Strategy in the Presence of Bid-Ask Spread and Delays in Capital Allocations. SSRN Electronic Journal.
Crossref
Tim Leung & Zheng Wang. (2016) Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics. SSRN Electronic Journal.
Crossref
Jiao Li. (2016) Trading VIX Futures Under Mean Reversion with Regime Switching. SSRN Electronic Journal.
Crossref
Peng Huang & Tianxiang Wang. (2016) On the Profitability of Optimal Mean Reversion Trading Strategies. SSRN Electronic Journal.
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Tim Leung & Zongxi Li. (2016) Timing Options for a Startup with Early Termination and Competition Risks. SSRN Electronic Journal.
Crossref
Tim Leung, Jiao Li, Xin Li & Zheng Wang. (2015) Speculative Futures Trading Under Mean Reversion. SSRN Electronic Journal.
Crossref
Xue Dong He & Linan Yang. (2015) Realization Utility with Adaptive Reference Points. SSRN Electronic Journal.
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