Speaker: Kiseop Lee, associate professor of Statistics, Purdue University

Date: December 11, 2023

Time: 16:00-17:00

Location: Room 411, National Center for Applied Mathematics, Shandong University

Sponsor: Zhongtai Securities Institute for Financial Studies, Shandong University

Abstract:

We explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping problem is formulated to analyze the optimal timings for both entering and subsequently liquidating positions, all while considering the impact of transaction costs. Our approach leverages the signature optimal stopping method to resolve this sequential optimal stopping problem, thereby unveiling the precise entry and exit timings that maximize gains. Our framework accommodates a wide range of mean reversion dynamics, offering adaptability to diverse scenarios. Numerical results are provided to demonstrate its superior performance when comparing with conventional mean reversion trading rules.

For more information, please visit:

http://mathfinance.sdu.edu.cn/info/1273/7358.htm