Exchange-Traded Funds (ETFs)

Current Projects:
  1. Intraday Trading of ETFs (see e.g. student's project)
  2. Counterparty Risk of Synthetic ETFs
  3. Pairs Trading of ETFs
  4. Tracking Performance of ETFs
Publications on ETFs:

Leveraged Exchange-Traded Funds
Price Dynamics and Options Valuation
SpringerBriefs in Quantitative Finance, 2016
Available on [Amazon] [Google Books][Springer]

  1. Mean Reverting Portfolios via Penalized Maximum Likelihood Estimation and Optimization [pdf], submitted 2018 (w. Jize Zhang and Aleksandr Aravkin)
  2. Dynamic Index Tracking and Exposure Control Using Derivatives [pdf], submitted 2017 (with B. Ward)
  3. Dynamic and Static leveraged ETF Portfolios with Delta-Vega Controls, working paper, 2015 (with Z. Wang)
  4. Synthetic ETFs and Counterparty Riskworking paper, 2015 (with J. Logan)
  5. 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)
  6. Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach [pdf],  International Journal of Theoretical & Applied Finance2017 (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 Financevol. 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 FinanceFields 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 (, Oct 2014
  12. Optimal Mean Reversion Trading with Transaction Costs & Stop-Loss Exit [pdf], International Journal of Theoretical & Applied Finance2015 (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