英文标题：
《Mean Reversion Trading with Sequential Deadlines and Transaction Costs》
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作者：
Yerkin Kitapbayev and Tim Leung
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最新提交年份：
2018
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英文摘要：
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that encapsulates a number of well-known models,including the Ornstein-Uhlenbeck (OU) model, Cox-Ingersoll-Ross (CIR) model, Jacobi model,and inhomogeneous geometric Brownian motion (IGBM) model.We analyze three types of trading strategies: (i) the long-short (long to open, short to close) strategy; (ii) the short-long(short to open, long to close) strategy, and (iii) the chooser strategy whereby the trader has the added flexibility to enter the market by taking either a long or short position, and subsequently close the position. For each strategy, we solve an optimal double stopping problem with sequential deadlines, and determine the optimal timing of trades. Our solution methodology utilizes the local time-space calculus of Peskir (2005) to derive nonlinear integral equations of Volterra-type that uniquely characterize the trading boundaries. Numerical implementation ofthe integral equations provides examples of the optimal trading boundaries.
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中文摘要：
我们研究了一个均值回复价格过程的最优交易时机策略，该过程有一个有限的进入期限和一个单独的有限的退出期限。价格过程由仿射漂移扩散建模，该扩散封装了许多著名模型，包括Ornstein-Uhlenbeck（OU）模型、Cox-Ingersoll-Ross（CIR）模型、Jacobi模型和非均匀几何布朗运动（IGBM）模型。我们分析了三种交易策略：（i）多空（多头开盘，空头收盘）策略；（ii）空头-多头（空头-开盘，多头-收盘）策略，以及（iii）选择者策略，交易员可以通过多头或空头头寸进入市场，然后平仓。对于每种策略，我们都解决了一个具有连续截止日期的最优双停问题，并确定了最佳交易时机。我们的求解方法利用Peskir（2005）的局部时空演算推导出唯一表征交易边界的Volterra型非线性积分方程。积分方程的数值实现提供了最佳交易边界的示例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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