Optimal Mean Reversion Trading : Mathematical Analysis and Practical Applicat...

by Xin Li, Tim Siu Leung

$103 · Offered by eBay

Optimal Mean Reversion Trading : Mathematical Analysis and Practical Applications, Hardcover by Leung, Tim; Li, Xin, ISBN 9814725919, ISBN-13 9789814725910, Like New Used, Free shipping in the US In this book, authors Li and Leung present readers with an introduction to a unique approach to financial engineering that combines analytical methodologies and applications, applying them to various trading approaches and scenarios. Using cases and real-world examples, the authors cover model estimation, risk constraints, risk premium, transaction costs, trading under the Ornstein-Uhlenbeck model, trading under the exponential OU model, and a variety of other related subjects. Tim Leung and Xin Li are both faculty members of Columbia Univeristy, New York. Annotation ©2016 Ringgold, Inc., Portland, OR ()

• Publisher: World Industries Scientific Publishing Co Pte LTD
• Year: 2016
• ISBN: 9789814725910
• Condition: Fine

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