Algo Trading

Current Projects:

  1. ML Methods for portfolio optimization
  2. Algo trading strategies for equities, options, & futures
  3. Statistical arbitrage, with focus on volatility products
  4. Cryptocurrencies trading

Book: Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications [link]

Papers on optimal trading:

      1. Optimal Trading with Trailing Stop [pdf], submitted 2016 (with H. Zhang)
      2. Mean Reverting Portfolios via Penalized Maximum Likelihood Estimation and Optimization [pdf], 2018 IEEE Conference on Decision and Control (CDC) (w. Jize Zhang and Aleksandr Aravkin)
      3. Sparse Mean-Reverting Portfolios via Penalized Likelihood Optimization, 2018 (w. Jize Zhang and Aleksandr Aravkin)
      4. How to Mine Gold Without Digging [pdf], submitted, 2018 (with Kevin Guo and Brian Ward)
      5. Optimal Dynamic Pairs Trading of Futures Under a Two-Factor Mean-Reverting Model [pdf], submitted, 2018 (with R. Yan)
      6. Optimal Timing to Trade Along a Randomized Brownian Bridge [pdf;link], Int. J. Financial Stud. 2018, 6(3), 75 (with J. Li, X. Li)
      7. Fast & Precautious: Order Controls for Trade Execution, RISK, April Issue, 2017 (with B. Bulthuis (KCG), J. Concha (Two Sigma), B. Ward)
      8. Mean Reversion Trading with Sequential Deadlines and Transaction Costs [pdf], International Journal of Theoretical & Applied Finance, Vol. 21, no. 1, p.1850004, 2018 (with Y. Kitapbayev)
      9. Dynamic Index Tracking and Exposure Control Using Derivatives [pdf] submitted, 2017 (with B. Ward)
      10. Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty [pdf], Journal of Financial Engineering, 2017 (with B. Bulthuis (KCG), J. Concha (Two Sigma), B. Ward)
      11. Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach [pdf;link], Annals of Finance, 2017 (with Y. Kitapbayev)
      12. Optimal Risk Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics [pdf], submitted 2016 (with Z. Wang)
      13. Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies [pdf], Studies in Economics & Finance, to appear, 2017
      14. Speculative Futures Trading under Mean Reversion [pdf], Asia-Pacific Financial Markets, published online, April 2016 (with J. Li, X. Li, Z. Wang)
      15. Optimal Mean Reversion Trading with Transaction Costs & Stop-Loss Exit, International Journal of Theoretical & Applied Finance, vol 18, issue 3, 2015 (with X. Li)
      16. Optimal Multiple Trading Times Under the Exponential OU Model, Stochastic Models, accepted 2015 [pdf] (with X. Li & Z. Wang)
      17. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties, Journal of Financial Engineering, 2(1), 2015 (with Y. Shirai)
      18. Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs [pdf], Risk & Decision Analysis, 5 (2-3): 149-161, 2014 (with X. Li and Z. Wang)
      19. Optimal Timing to Purchase Options, SIAM Journal on Financial Mathematics, 2(1): 768-793, 2011 [pdf] (with M. Ludkovski)
      20. Accounting for Risk Aversion in Derivatives Purchase Timing, Mathematics & Financial Economics, 6(4): 363-386, 2012 [pdf] (with M. Ludkovski)
      21. Risk Premia and Optimal Liquidation of Credit Derivatives, with P. Liu, International Journal of Theoretical & Applied Finance, 15(8): 1-34, 2012 [pdf]
      22. Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing, Finance & Stochastics, 17(4): 839-870, 2013 [pdf] (with Q. Song & J. Yang)
      23. An Optimal Timing Approach to Option Portfolio Risk Management, in Advances in Financial Risk Management, Batten et al. eds., pp.391-403, 2013 (with P. Liu)


http://www.worldscientific.com/worldscibooks/10.1142/9839