英文标题：
《Speculative Futures Trading under Mean Reversion》
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作者：
Tim Leung, Jiao Li, Xin Li, Zheng Wang
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最新提交年份：
2016
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英文摘要：
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential Ornstein-Uhlenbeck (XOU) model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution of the roll yield, and compute explicitly the expected roll yield. For the futures trading problem, we incorporate the investor\'s timing option to enter or exit the market, as well as a chooser option to long or short a futures upon entry. This leads us to formulate and solve the corresponding optimal double stopping problems to determine the optimal trading strategies. Numerical results are presented to illustrate the optimal entry and exit boundaries under different models. We find that the option to choose between a long or short position induces the investor to delay market entry, as compared to the case where the investor pre-commits to go either long or short.
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中文摘要：
本文研究了当标的现货价格为均值回复时，具有交易成本的期货交易问题。具体地说，我们用奥恩斯坦-乌伦贝克（OU）、考克斯-英格索尔-罗斯（CIR）或指数奥恩斯坦-乌伦贝克（XOU）模型对spot动力学进行建模。推导了期货期限结构，并研究了其与期货价格动态的关系。对于每个期货合约，我们描述滚动收益率的演变，并明确计算预期滚动收益率。对于期货交易问题，我们加入了投资者进入或退出市场的时机选择权，以及在进入时做多或做空期货的选择权。这导致我们制定并解决相应的最优双停问题，以确定最优交易策略。数值结果显示了不同模型下的最优入口和出口边界。我们发现，与投资者预先承诺做多或做空的情况相比，在多头或空头头寸之间选择的选项会导致投资者延迟进入市常
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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