Search Results for author: T. N. Li

Found 2 papers, 0 papers with code

Trading Signals In VIX Futures

no code implementations • 2 Mar 2021 • M. Avellaneda, T. N. Li, A. Papanicolaou, G. Wang

We propose a new approach for trading VIX futures.

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Statistical Arbitrage for Multiple Co-Integrated Stocks

no code implementations • 6 Aug 2019 • T. N. Li, A. Papanicolaou

In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors.

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