Jiao Li

Columbia University

292C S.W. Mudd Building

500 West 120th Street

New York, NY NY 10027

United States

SCHOLARLY PAPERS

3

DOWNLOADS

879

SSRN CITATIONS

10

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Speculative Futures Trading Under Mean Reversion

Asia-Pacific Financial Markets, pp 1-24, April 2016
Number of pages: 22 Posted: 27 Nov 2015 Last Revised: 29 May 2016
Tim Leung, Jiao Li, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University, Columbia University and Columbia University
Downloads 468 (76,535)
Citation 9

Abstract:

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optimal stopping, mean reversion, futures trading, roll yield, variational inequality

2.

Trading VIX Futures Under Mean Reversion with Regime Switching

Number of pages: 17 Posted: 25 May 2016 Last Revised: 15 Jun 2016
Jiao Li
Columbia University
Downloads 338 (111,332)
Citation 1

Abstract:

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optimal stopping, mean reversion, futures trading, regime switching, variational in-equality

3.

Optimal Timing to Trade Along a Randomized Brownian Bridge

Int. J. Financial Stud. 2018, 6(3), 75; DOI: 10.3390/ijfs6030075
Number of pages: 25 Posted: 05 Jan 2018 Last Revised: 19 Feb 2019
Tim Leung, Jiao Li and Xin Li
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 73 (393,842)

Abstract:

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