ETFs

http://www.springer.com/us/book/9783319290928

Current Projects:

  1. Intraday Trading & Tracking of ETFs (see e.g. student's project)
  2. ETFs Trading Strategies: pairs trading, rotation, arbitrage

Publications on ETFs:

  1. Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation, SpringerBriefs in Quantitative Finance, 2016. [table of contents] [chapter 2] [cover] Available on [Amazon] [Google Books][Springer]
  2. Dynamic Index Tracking and Exposure Control Using Derivatives [pdf], to appear, Applied Mathematical Finance 2018 (with B. Ward)
  3. Mean Reverting Portfolios via Penalized Maximum Likelihood Estimation and Optimization [pdf], submitted 2018 (w. Jize Zhang and Aleksandr Aravkin)
  4. Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies [pdf; see Sect. 4 for ADR-ETF pairs trading], Studies in Economics and Finance, 2017 (with J. Kang)
  5. Dynamic and Static leveraged ETF Portfolios with Delta-Vega Controls, working paper, 2015 (with Z. Wang)
  6. Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach [pdf], International Journal of Theoretical & Applied Finance, 2017 (with. H. Park)
  7. Leveraged ETF Implied Volatilities from ETF Dynamics [pdf], Mathematical Finance, 2016 (with M. Lorig & A. Pascucci)
  8. Implied Volatility of Leveraged ETF Options [pdf], Applied Mathematical Finance, vol. 22, issue 2, pp.162-188, 2015 (with R. Sircar)
  9. 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)
  10. 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)
  11. Commodity Leveraged ETFs: Tracking Errors, Volatility Decay and Trading Strategies [pdf] Energy Risk (Risk.net), Oct 2014
  12. Optimal Mean Reversion Trading with Transaction Costs & Stop-Loss Exit [pdf], International Journal of Theoretical & Applied Finance, 2015 (with X. Li)
  13. Leveraged ETFs: Admissible Leverage and Risk Horizon [pdf], Journal of Investment Strategies, 2(1):39-61, 2012 (with M. Santoli)

Press Coverage: [Sina Finance] [Risk Magazine]