Last updated in 2021. For latest research, please visit the research page.

Recent Projects:

1. Commodities Futures & ETPs - Algo Trading & Stat Arb Strategies

2. Commodities (e.g. precious metals, agriculturals) 

Related Books: 

• Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications, World Scientific [link]

• Stochastic Control Methods for Dynamic Futures Portfolios, Springer, 2021

Selected Publications:

1. Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model, accepted, ACC 2021 (with Yang Zhou)

2. A Stochastic Control Approach to Futures Trading with Regime Switching [link], in the Proceedings of the American Control Conference, 2020 (with Yang Zhou)

3. Tracking VIX with VIX Futures: Portfolio Construction and Performance [pdf;link], in Handbook of Applied Investment Research, J. Guerard and W. Ziemba eds., World Scientific Publishing Co, 2020 (w. Brian Ward)

4. Optimal trading of a basket of futures contracts [link], Annals of Finance, 2020 (w. Bahman Angoshtari)

5. Optimal Dynamic Basis Trading [pdf;link], Annals of Finance, 2019 (w. Bahman Angoshtari)

6. A Stochastic Control Approach to Managed Futures Portfolios [pdf], International Journal of Financial Engineering, 2019 (w. Raphael Yan)

7. How to Mine Gold Without Digging [pdf], International Journal of Financial Engineering 2019 (with Kevin Guo and Brian Ward)

8. Optimal Dynamic Pairs Trading of Futures Under a Two-Factor Mean-Reverting Model [pdf], International Journal of Financial Engineering, Volume 5, Issue 3, p. 1850027, 2018 (with Raphael Yan)

9. Dynamic Index Tracking and Exposure Control Using Derivatives [pdf], Applied Mathematical Finance, 2018 (with B. Ward)

10. Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options [pdf;link], Journal of Commodity Markets, 2017 (with K. Guo)

11. Speculative Futures Trading under Mean Reversion [pdf], Asia-Pacific Financial Markets, published online, April 2016 (with J. Li, X. Li, Z. Wang)

12. An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions [pdf], Journal of Economic Dynamics & Control, vol. 53, pp.251-267, 2015 (with E. Dahlgren)

13. The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs [pdf], Studies in Economics and Finance, vol 32, issue 3, pp.278-297, 2015  (with B. Ward)

14. Understanding the Tracking Errors of Commodity Leveraged ETFs* [pdf]  in Commodities, Energy & Environmental Finance, Fields Institute Communications, R. Aid et al. Editors, pp.39-63, Springer, 2015 (with K. Guo)

15. Commodity Leveraged ETFs: Tracking Errors, Volatility Decay and Trading Strategies [pdf] Energy Risk (Risk.net), Oct 2014

16. Optimal Mean Reversion Trading with Transaction Costs & Stop-Loss Exit [pdf], International Journal of Theoretical & Applied Finance, 2015 (with X. Li)

Press Coverage:  [Sina Finance] [Risk Magazine]