Last updated in 2021. For latest research, please visit the research page.
Recent Projects:
Commodities Futures & ETPs - Algo Trading & Stat Arb Strategies
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:
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model, accepted, ACC 2021 (with Yang Zhou)
A Stochastic Control Approach to Futures Trading with Regime Switching [link], in the Proceedings of the American Control Conference, 2020 (with Yang Zhou)
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)
Optimal trading of a basket of futures contracts [link], Annals of Finance, 2020 (w. Bahman Angoshtari)
Optimal Dynamic Basis Trading [pdf;link], Annals of Finance, 2019 (w. Bahman Angoshtari)
A Stochastic Control Approach to Managed Futures Portfolios [pdf], International Journal of Financial Engineering, 2019 (w. Raphael Yan)
How to Mine Gold Without Digging [pdf], International Journal of Financial Engineering 2019 (with Kevin Guo and Brian Ward)
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)
Dynamic Index Tracking and Exposure Control Using Derivatives [pdf], Applied Mathematical Finance, 2018 (with B. Ward)
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options [pdf;link], Journal of Commodity Markets, 2017 (with K. Guo)
Speculative Futures Trading under Mean Reversion [pdf], Asia-Pacific Financial Markets, published online, April 2016 (with J. Li, X. Li, Z. Wang)
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions [pdf], Journal of Economic Dynamics & Control, vol. 53, pp.251-267, 2015 (with E. Dahlgren)
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)
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)
Commodity Leveraged ETFs: Tracking Errors, Volatility Decay and Trading Strategies [pdf] Energy Risk (Risk.net), Oct 2014
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]