Yunze Huang

Cornell University

Ithaca, NY

United States

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Scholarly Papers (1)

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High Frequency Trading Strategy for the 30 Year Treasury Bond

Number of pages: 30 Posted: 13 Mar 2020
Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University and Cornell University
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Abstract:

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30 Year Treasury Bond, Online Regression, Cointegration, Kalman Filter