Topic: Optimal Stopping and Applications in Stock Trading

Speaker: Prof. Qing Zhang , University of Georgia

Date and Time: 10:00 am - 12:00 pm, June 12 - 14, 2019

Venue: Room 208, Cheng Dao Building

Abstract：

Trading of securities in open marketplaces has been around for hundreds of years. It is only until recent years that mathematics has played an increasingly important role in market analysis and trading system design.By and large, active market participants can be classified into two groups based on their trading strategies: trend followers and contra-trend traders.

This tutorial addresses the stochastic control foundation for popular strategies from both camps. Various market models will be considered including geometric Brownian motion, models with regime switching, and mean reversion models. Simply threshold type trading rules will be developed under each model. This tutorial consists of three lectures. The first lecture is devoted to trend following (momentum trading) under regime switching models. The second one is about mean reversion trading, and the final lecture will focus on pairs trading.

Biography：

Qing Zhang is Professor of Mathematics at the University of Georgia. He received his Ph.D. in Applied Mathematics from Brown University. He specializes in stochastic systems and control, filtering, and applications in finance. He has published five monographs on two-time scale Markovian systems and applications and over 200 research papers. He co-edited five books and was Associate Editor of Automatica, IEEE Transactions on Automatic control, and SIAM Journal on Control and Optimization. He is currently Corresponding Editor of SIAM Journal on Control and Optimization. He also served on a number of international conference organizing committees including Co-Chair of the organizing committee for the SIAM Conference on Control and Applications in 2017.