Trading VIX Futures under Mean Reversion with Regime Switching
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Cited by:
- Tim Leung & Brian Ward, 2018.
"Dynamic Index Tracking and Risk Exposure Control Using Derivatives,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(2), pages 180-212, March.
- Tim Leung & Brian Ward, 2017. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers 1705.10454, arXiv.org.
- Yerkin Kitapbayev & Tim Leung, 2018.
"Mean Reversion Trading With Sequential Deadlines And Transaction Costs,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-22, February.
- Yerkin Kitapbayev & Tim Leung, 2017. "Mean Reversion Trading with Sequential Deadlines and Transaction Costs," Papers 1707.03498, arXiv.org, revised Jan 2018.
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This paper has been announced in the following NEP Reports:- NEP-FMK-2016-05-28 (Financial Markets)
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