Daily Leveraged ETF Rebalancing under Market Frictions


Leveraged Exchange-Traded Fund is an instrument that aims at target daily returns equal to a constant multiple of underlying daily returns. Common LETF rebalancing strategies involve large transactions daily right before... [ view full abstract ]


  1. Min Dai (National University of Singapore)
  2. Steven Kou (National University of Singapore)
  3. Halil Mete Soner (ETH Zurich)
  4. Chen Yang (ETH Zurich)

Topic Areas

Exchange-Traded Funds , Price Impact , Trading Strategies


TU-A-SW » High Frequency Trading (11:30 - Tuesday, 17th July, Swift)

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