{"id":"https://openalex.org/W3045698640","doi":"https://doi.org/10.23919/acc45564.2020.9147507","title":"A Stochastic Control Approach to Futures Trading with Regime Switching","display_name":"A Stochastic Control Approach to Futures Trading with Regime Switching","publication_year":2020,"publication_date":"2020-07-01","ids":{"openalex":"https://openalex.org/W3045698640","doi":"https://doi.org/10.23919/acc45564.2020.9147507","mag":"3045698640"},"language":"en","primary_location":{"id":"doi:10.23919/acc45564.2020.9147507","is_oa":false,"landing_page_url":"https://doi.org/10.23919/acc45564.2020.9147507","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 American Control Conference (ACC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044975638","display_name":"Tim Leung","orcid":"https://orcid.org/0000-0002-0023-6289"},"institutions":[{"id":"https://openalex.org/I4210138199","display_name":"University of Washington Applied Physics Laboratory","ror":"https://ror.org/03d17d270","country_code":"US","type":"facility","lineage":["https://openalex.org/I201448701","https://openalex.org/I4210138199"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tim Leung","raw_affiliation_strings":["Department of Applied Mathematics, University of Washington, Seattle, WA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, University of Washington, Seattle, WA","institution_ids":["https://openalex.org/I4210138199"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5036536837","display_name":"Yang Zhou","orcid":"https://orcid.org/0000-0003-2698-6077"},"institutions":[{"id":"https://openalex.org/I4210138199","display_name":"University of Washington Applied Physics Laboratory","ror":"https://ror.org/03d17d270","country_code":"US","type":"facility","lineage":["https://openalex.org/I201448701","https://openalex.org/I4210138199"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yang Zhou","raw_affiliation_strings":["Department of Applied Mathematics, University of Washington, Seattle, WA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, University of Washington, Seattle, WA","institution_ids":["https://openalex.org/I4210138199"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.13959284,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"2808","last_page":"2813"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9919999837875366,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.8744189739227295},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.8095386028289795},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6909320950508118},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.6245086789131165},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.5701492428779602},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.5694063305854797},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5534001588821411},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5311150550842285},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.5090777277946472},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4935063123703003},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4617294371128082},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.45483702421188354},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.44342249631881714},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.4259815812110901},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.40727633237838745},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3697865903377533},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2778190076351166},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.25470736622810364},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.24681249260902405}],"concepts":[{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.8744189739227295},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.8095386028289795},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6909320950508118},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.6245086789131165},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5701492428779602},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.5694063305854797},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5534001588821411},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5311150550842285},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.5090777277946472},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4935063123703003},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4617294371128082},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.45483702421188354},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.44342249631881714},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.4259815812110901},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.40727633237838745},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3697865903377533},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2778190076351166},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.25470736622810364},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.24681249260902405},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.23919/acc45564.2020.9147507","is_oa":false,"landing_page_url":"https://doi.org/10.23919/acc45564.2020.9147507","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 American Control Conference (ACC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W1965746347","https://openalex.org/W1988916339","https://openalex.org/W2005158847","https://openalex.org/W2108152935","https://openalex.org/W2889900257","https://openalex.org/W2893255013","https://openalex.org/W2899035628","https://openalex.org/W2954443689","https://openalex.org/W2979573331","https://openalex.org/W2998396803","https://openalex.org/W3124305825","https://openalex.org/W3125002995","https://openalex.org/W3125045951","https://openalex.org/W4249417896"],"related_works":["https://openalex.org/W4301305831","https://openalex.org/W3153900688","https://openalex.org/W2358967034","https://openalex.org/W2787582544","https://openalex.org/W4306892756","https://openalex.org/W2951339426","https://openalex.org/W2094032802","https://openalex.org/W1978011944","https://openalex.org/W2963548356","https://openalex.org/W3120526207"],"abstract_inverted_index":{"We":[0,57],"study":[1],"the":[2,13,24,29,40,50,62,74],"problem":[3],"of":[4,43],"dynamically":[5],"trading":[6,36],"futures":[7,30],"in":[8],"a":[9,18,34],"regime-switching":[10],"market.":[11],"Modeling":[12],"spot":[14],"asset":[15],"price":[16,26],"as":[17],"Markov-modulated":[19],"diffusion":[20],"process,":[21],"we":[22,47],"derive":[23],"no-arbitrage":[25],"dynamics":[27],"for":[28,49],"contracts":[31],"and":[32,54,68,78],"formulate":[33],"continuous-time":[35],"problem.":[37],"By":[38],"analyzing":[39],"associated":[41],"system":[42],"Hamilton-Jacobi-Bellman":[44],"(HJB)":[45],"equations,":[46],"solve":[48],"investor's":[51,75],"value":[52],"function":[53],"optimal":[55,76],"strategies.":[56],"apply":[58],"our":[59],"methodology":[60],"to":[61,72],"Regime-Switching":[63],"Exponential":[64],"Ornstein-Uhlenbeck":[65],"(RS-XOU)":[66],"model":[67],"provide":[69],"numerical":[70],"examples":[71],"illustrate":[73],"positions":[77],"wealth":[79],"process.":[80]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}