Stochastic Control Approach to Futures Trading

Tim Leung and Yang Zhou
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Yang Zhou: University of Washington, USA

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: Futures play an integral role in the financial markets. Tens of millions of contracts are traded on futures exchanges around the globe every day. In recent years, futures have been incorporated into a wide array of financial securities and have become the driving force behind their price dynamics. Managed futures portfolios and commodity trading advisors (CTAs), with hundreds of billions under management, are major parts of the hedge fund industry.

Keywords: Futures; Futures Trading; Dynamic Futures Trading; Finance; Quantitative Finance; Modelling; Finance Modelling; Stochastic; Stochastic Processes; Stochastic Models; Stochastic Modelling; Stochastic Control Approach; Securities; Financial Securities; Securities Trading; Commodity Trading Advisors; CTAs; Hedge Fund; Hedge Funds; Hedge Funds Industry; Trading Strategy; Trading Strategies; Pricing; Futures Contracts; Futures Contract Pricing; Portfolio; Portfolio Building; Finance Portfolio; Market Structure; Market Environment (search for similar items in EconPapers)
Date: 2024
ISBN: 9789811282744
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