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

Current Projects:

1. ML Methods for portfolio construction & optimization 

2. Algo trading strategies for equities, ETFs, options, & futures

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

Papers:

• Futures 

  • 1. Optimal Trading of a Basket of Futures Contracts [pdf;link], Annals of Finance, published online, Jan 2020 (w. Bahman Angoshtari)

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

    3. Dynamic Optimal Futures Portfolio in a Regime-Switching Market Framework [pdf], International Journal of Financial Engineering, Vol. 6, No. 4, 1950034, 2019 (with Yang Zhou)

    4.  Optimal Dynamic Basis Trading [pdf], Annals of Finance, accepted, May 2019 (w. Bahman Angoshtari)

    5. A Stochastic Control Approach to Managed Futures Portfolios [pdf;link], International Journal of Financial Engineering, Vol. 6, No. 1, p.1950005, 2019 (w. Raphael Yan)

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

    7. Optimal Dynamic Pairs Trading of Futures Under a Two-Factor Mean-Reverting Model [pdf], International Journal of Financial Engineering, 2018 (with R. Yan)

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

    9. Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options [pdf;link], Journal of Commodity Markets, Volume 6, pp. 32-49, 2017 (with K. Guo)

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

• Portfolio Construction & Trading Strategies

  • 1. Sparse Mean-Reverting Portfolios via Penalized Likelihood Optimization [pdf;link], Automatica, Volume 111, 108651, Jan 2020 (w. Jize Zhang and Aleksandr Aravkin)

    2. Optimal Trading with Trailing Stop [pdf], Applied Mathematics & Optimization, 2019 (with H. Zhang)

    3. How to Mine Gold Without Digging [pdf;link], International Journal of Financial Engineering, Vol. 6, No. 1, p.1950009, 2019 (with Kevin Guo and Brian Ward)

    4. Mean Reverting Portfolios via Penalized Maximum Likelihood Estimation and Optimization [pdf;IEEE link], IEEE Conference on Decision and Control (CDC), pp.5795-5800, 2018 (w. Jize Zhang and Aleksandr Aravkin)

    5. Optimal Timing to Trade Along a Randomized Brownian Bridge [pdf;link], Int. J. Financial Stud. 2018, 6(3), 75 (with J. Li, X. Li)

    6. 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)

    7. Optimal Risk Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics [pdf;link], Annals of Finance, Volume 15, Issue 1, pp.1–28, 2019 (with Z. Wang)

    8. Fast & Precautious: Order Controls for Trade Execution, RISK, April Issue, 2017 (with B. Bulthuis (KCG), J. Concha (Two Sigma), B. Ward)

    9. Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies [pdf;link], Studies in Economics and Finance, vol 34, issue 4, pp.580-596 2017 (with J. Kang) - featured in Interactive Broker Trader's Insight

    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 Mean Reversion Trading with Transaction Costs & Stop-Loss Exit, International Journal of Theoretical & Applied Finance, vol 18, issue 3, 2015 (with X. Li)

    13. Optimal Multiple Trading Times Under the Exponential OU Model, Stochastic Models, accepted 2015 [pdf]  (with X. Li & Z. Wang)

    14. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties, Journal of Financial Engineering, 2(1), 2015  (with Y. Shirai) 

    15. 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)

    16. Optimal Timing to Purchase Options, SIAM Journal on Financial Mathematics, 2(1): 768-793, 2011 [pdf] (with M. Ludkovski)

    17. Accounting for Risk Aversion in Derivatives Purchase Timing, Mathematics & Financial Economics, 6(4): 363-386, 2012  [pdf] (with M. Ludkovski) 

    18. Risk Premia and Optimal Liquidation of Credit Derivatives, with P. Liu, International Journal of Theoretical & Applied Finance, 15(8): 1-34, 2012  [pdf]

    19. 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)

    20. 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)