Optimal Pairs Trading with Time-Varying Volatility TN Li, A Tourin International Journal of Financial Engineering (ISSN: 2424-7863) 3 (3 …, 2016 | 12 | 2016 |
Statistical Arbitrage for Multiple Co-Integrated Stocks TN Li, A Papanicolaou Applied Mathematics & Optimization (ISSN: 0095-4616) 86 (1), https://doi.org …, 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://doi.org/10 …, 2021 | 6 | 2021 |
Yield Farming for Liquidity Provision TN Li, S Naik, A Papanicolaou, L Schönleber SSRN Manuscript, 2023 | 4* | 2023 |
Implied Impermanent Loss: A Cross-Sectional Analysis of Decentralized Liquidity Pools TN Li, S Naik, A Papanicolaou, L Schönleber SSRN Manuscript, 2024 | | 2024 |
Dynamic Pairs Trading Strategies Utilising Stochastic Optimal Control Approach TN Li ProQuest Number 13884322, New York University. Ph.D Dissertation., 2019 | | 2019 |