Yu Hang (Gabriel) Kan
Yu Hang (Gabriel) Kan is a quantitative analyst in the algorithmic trading group of Bloomberg Tradebook. He is responsible for developing algorithmic trading strategies across global markets, with particular focus on the APAC region. Additionally, he analyzes market microstructure across Equities, Futures and FX, and reviews TCA. Gabriel holds a BS in Math and MS in Financial Engineering from the University of Michigan and a PhD in Operations Research from Columbia University.
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.