Peng Huang

Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students

New York, NY

United States

  • Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students

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On the Profitability of Optimal Mean Reversion Trading Strategies

Number of pages: 18 Posted: 22 Jan 2016 Last Revised: 19 Feb 2016
Peng Huang and Tianxiang Wang
Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students and Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students
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Abstract:

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maximum likelihood estimation, Ornstein-Uhlenbeck process, mean-reversion trading