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Thom LI Ph.D.
Thom LI Ph.D.
Institut Courant de Sciences Mathématiques
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Title
Cited by
Cited by
Year
Optimal Pairs Trading with Time-Varying Volatility
TN Li, A Tourin
International Journal of Financial Engineering (ISSN: 2424-7863) 3 (3 …, 2016
122016
Statistical Arbitrage for Multiple Co-Integrated Stocks
TN Li, A Papanicolaou
Applied Mathematics & Optimization (ISSN: 0095-4616) 86 (1), https://arxiv …, 2022
6*2022
Trading Signals In VIX Futures
M Avellaneda, TN Li, A Papanicolaou, G Wang
Applied Mathematical Finance (ISSN: 1350-486X) 28 (3), https://arxiv.org/abs …, 2021
62021
Yield Farming for Liquidity Provision
TN Li, S Naik, A Papanicolaou, L Schoenleber
SSRN Manuscript, 2023
3*2023
Dynamic Pairs Trading Strategies Utilising Stochastic Optimal Control Approach
TN Li
ProQuest Number 13884322, New York University. Ph.D Dissertation., 2019
2019
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Articles 1–5