Xin Li

Columbia University

345 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

http://www.columbia.edu/~xl2206/

  • Columbia University

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015
Number of pages: 26 Posted: 23 Feb 2013 Last Revised: 27 Apr 2015
Tim Leung and Xin Li
University of Washington - Department of Applied Math and Columbia University
Downloads 2,814 (3,932)

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optimal double stopping, mean reversion trading, Ornstein-Uhlenbeck process, stop-loss

2.

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 403 (70,436)

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

3.

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

Stochastic Models, vol 31, issue 4, 2015
Number of pages: 25 Posted: 10 Sep 2014 Last Revised: 31 Dec 2017
Tim Leung, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 273 (109,066)

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optimal double stopping, optimal switching, exponential OU process, transaction costs

4.

Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs

Risk and Decision Analysis, Volume 5, Number 2-3, pp.149-161, 2014
Number of pages: 20 Posted: 01 Oct 2014 Last Revised: 31 Dec 2017
Tim Leung, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 130 (214,634)

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optimal starting-stopping, optimal switching, CIR process, confluent hypergeometric functions

5.

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 58 (357,788)

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6.

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications

Modern Trends in Financial Engineering (Book Series), World Scientific/Imperial College Press, Forthcoming
Posted: 29 Sep 2015 Last Revised: 27 Dec 2016
Tim Leung and Xin Li
University of Washington - Department of Applied Math and Columbia University

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Mean reversion, futures trading, pairs trading, options, credit derivatives, OU process, CIR process