Donovan Lee

Duke University - Mathematics Department

120 Science Drive

117 Physics Building

Durham, NC North Carolina 27708

United States

SCHOLARLY PAPERS

1

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1,982

TOTAL CITATIONS

1

Scholarly Papers (1)

1.

On the Efficacy of Optimized Exit Rule for Mean Reversion Trading

Number of pages: 17 Posted: 08 Jul 2020
Donovan Lee and Tim Leung
Duke University - Mathematics Department and University of Washington - Department of Applied Math
Downloads 1,982 (17,163)
Citation 1

Abstract:

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pairs trading, mean reversion, optimal exit