Speculative futures trading under mean reversion (Q1627723)

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Speculative futures trading under mean reversion
scientific article

    Statements

    title
    Speculative futures trading under mean reversion (English)
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    author
    Tim Leung
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    Jiao Li
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    Xin Li
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    Zheng Wang
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    publication date
    3 December 2018
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    zbMATH Keywords
    optimal stopping
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    mean reversion
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    futures trading
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    roll yield
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    variational inequality
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60J60
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    zbMATH DE Number
    6987675
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    OpenAlex ID
    W3125675349
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    arXiv ID
    1601.04210
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