Optimal Mean-Reversion Strategies
Jonathan
Scenario Description Consider a financial asset whose price, Xt, follows a mean-reverting stochastic process. A common model for mean reversion is the Ornstein-Uhlenbeck (OU) process, defined by the stochastic differential equation (SDE): Objective The trader aims to maximize the expected cumulative profit from trading this asset over a finite horizon, subject to transaction costs. The … Continue reading "Optimal Mean-Reversion Strategies" The post Optimal Mean-Reversion Strategies appeared fir