Optimal Mean Reversion Trading

Optimal Mean Reversion Trading
Author :
Publisher : World Scientific
Total Pages : 221
Release :
ISBN-10 : 9789814725927
ISBN-13 : 9814725927
Rating : 4/5 (927 Downloads)

Book Synopsis Optimal Mean Reversion Trading by : Tim Leung (Professor of industrial engineering)

Download or read book Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and published by World Scientific. This book was released on 2015-11-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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."--


Optimal Mean Reversion Trading Related Books

Optimal Mean Reversion Trading
Language: en
Pages: 221
Authors: Tim Leung (Professor of industrial engineering)
Categories: Business & Economics
Type: BOOK - Published: 2015-11-26 - Publisher: World Scientific

GET EBOOK

"Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the
Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications
Language: en
Pages: 221
Authors: Tim Siu-tang Leung
Categories: Business & Economics
Type: BOOK - Published: 2015-11-26 - Publisher: World Scientific

GET EBOOK

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the
Pairs Trading
Language: en
Pages: 295
Authors: Ganapathy Vidyamurthy
Categories: Business & Economics
Type: BOOK - Published: 2011-02-02 - Publisher: John Wiley & Sons

GET EBOOK

The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) o
Financial Markets and Trading
Language: en
Pages: 195
Authors: Anatoly B. Schmidt
Categories: Business & Economics
Type: BOOK - Published: 2011-07-05 - Publisher: John Wiley & Sons

GET EBOOK

An informative guide to market microstructure and trading strategies Over the last decade, the financial landscape has undergone a significant transformation, s
Mechanical Trading Systems
Language: en
Pages: 241
Authors: Richard L. Weissman
Categories: Business & Economics
Type: BOOK - Published: 2005 - Publisher: John Wiley & Sons

GET EBOOK

It also provides a detailed examination of the personality traits common to the three basic types of trader - trend-following (long to intermediate term), mean