均值回归下的期货投机交易
Speculative Futures Trading under Mean Reversion
摘要：
本文研究了现货价格均值回复时有交易成本的期货交易问题。具体来说，我们的模型的点动态的Ornstein-Uhlenbeck（XH），Cox-Ingersoll-Ross（CIR），或指数Ornstein-Uhlenbeck（XH）模型。期货的期限结构推导和其连接期货价格动态进行检查。对于每个期货合约，我们描述了滚动收益率的演变，并明确计算预期滚动收益率。对于期货交易问题，我们考虑了投资者进入或退出市场的时间选择，以及在进入市场时做多或做空期货的时间选择。这导致我们制定和解决相应的最佳双停止问题，以确定最佳的交易策略。数值结果显示了不同模型下的最优入口和出口边界。我们发现，选择一个长期或短期的立场诱导投资者推迟进入市场，相比的情况下，投资者预先承诺去长期或短期。
英文摘要：
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential Ornstein-Uhlenbeck (XOU) model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution of the roll yield, and compute explicitly the expected roll yield. For the futures trading problem, we incorporate the investor's timing option to enter or exit the market, as well as a chooser option to long or short a futures upon entry. This leads us to formulate and solve the corresponding optimal double stopping problems to determine the optimal trading strategies. Numerical results are presented to illustrate the optimal entry and exit boundaries under different models. We find that the option to choose between a long or short position induces the investor to delay market entry, as compared to the case where the investor pre-commits to go either long or short.
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