Access Statistics for Tim S.T. Leung

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization 0 0 0 11 1 2 11 52
A Stochastic Control Approach to Managed Futures Portfolios 0 0 0 14 4 4 17 53
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 1 1 6 24
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 1 3 10 55
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 5 2 3 16 31
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 0 1 8 106
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 2 2 12 34
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 2 4 15 39
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 25 10 11 41 166
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 0 0 16 104
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 1 1 18 1 5 21 47
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 1 2 9 60
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 0 0 4 40 8 12 100 169
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 1 3 6 14
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 1 29 0 1 11 121
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 0 2 17 0 2 13 45
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 2 3 20 56
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 0 9 1 1 4 32
Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework 0 0 4 8 1 1 27 38
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 0 7 4 4 10 48
Optimal Dynamic Basis Trading 0 0 0 9 0 2 17 60
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 2 4 17 35
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 0 10 2 3 11 24
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 13 4 4 11 45
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 1 2 9 104 6 25 130 459
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 3 4 20 64
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 1 2 11 32
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 1 6 3 4 19 62
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 1 2 10 21
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 3 4 6 12 32
Optimal Static Quadratic Hedging 0 0 0 22 2 4 10 69
Optimal Timing to Purchase Options 0 0 0 15 0 1 15 91
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 0 7 2 3 11 48
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 5 6 15 70
Optimal Trading with a Trailing Stop 0 1 8 232 10 42 149 239
Optimal positioning in derivative securities in incomplete markets 0 0 0 6 0 2 7 14
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing 0 0 0 6 2 3 6 61
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach 0 0 0 8 2 2 12 47
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics 1 1 1 5 3 4 21 24
Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management 0 0 0 0 2 2 5 9
Risk Premia and Optimal Liquidation of Credit Derivatives 0 0 0 6 1 2 9 89
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs 0 0 0 4 1 4 14 24
Speculative Futures Trading under Mean Reversion 0 1 3 22 4 7 32 99
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 4 5 13 63
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 0 0 22 3 4 35 155
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 2 4 11 58
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 3 4 19 53
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 1 2 21 62
Total Working Papers 2 6 34 875 115 222 1,036 3,403

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Diversification Framework for Multiple Pairs Trading Strategies 0 0 0 16 3 5 16 68
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 0 0 1 1 3 4 16 25
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 0 2 19 38
A flexible regime-switching framework for foreign exchange dynamics 0 1 3 4 1 6 23 25
A stochastic control approach to managed futures portfolios 0 0 0 4 1 2 15 54
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 16 0 2 7 122
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 0 7 26
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 1 1 10 51
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 1 3 10 13
American step-up and step-down default swaps under L�vy models 0 0 0 4 1 2 21 54
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 2 2 19 55
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 0 4 7 12 68 162
Constrained dynamic futures portfolios with stochastic basis 1 1 2 8 1 1 10 53
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 0 0 9 53 10 19 80 231
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 0 2 9 27
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 1 2 13 31
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 1 1 11 33
Foreign currency exposure within country exchange traded funds 0 0 0 8 2 3 33 69
How to mine gold without digging 0 1 1 4 2 3 15 43
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 0 2 11 33
Implied Volatility of Leveraged ETF Options 0 1 1 12 6 8 33 119
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 1 12 39
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 1 3 1 1 8 52
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 0 1 6 1 2 18 52
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 0 0 1 1 0 0 11 13
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 0 6 4 4 9 25
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 2 4 19 24
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 1 1 12 22
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 1 4 15 4 9 56 103
On the efficacy of optimized exit rule for mean reversion trading 0 2 6 24 3 10 32 80
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 1 6 1 1 21 65
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 5 6 21 48
Optimal dynamic basis trading 0 0 1 9 2 4 20 66
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 1 1 15 23
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 0 2 14 1 1 19 60
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 1 6 3 5 23 131
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 0 13 1 2 16 89
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 5 0 2 16 42
Optimal static quadratic hedging 0 0 0 2 0 1 8 28
Optimal trading of a basket of futures contracts 0 0 0 2 2 4 13 38
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 2 3 9 49
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 1 3 0 0 11 40
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 1 1 16 27
Speculative Futures Trading under Mean Reversion 1 3 3 14 3 7 17 75
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 4 4 11 51
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 0 3 3 5 40 95
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 3 4 11 44
Total Journal Articles 2 10 39 304 91 165 910 2,713

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Employee Stock Options:Exercise Timing, Hedging, and Valuation 0 0 1 17 1 2 13 49
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 5 10 40 377 16 40 190 1,202
Stochastic Control Approach to Futures Trading 1 1 9 19 3 4 22 47
Total Books 6 11 50 413 20 46 225 1,298
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Optimal Timing Approach to Option Portfolio Risk Management 0 0 0 0 0 0 4 8
Credit derivatives and risk aversion 0 0 0 1 0 0 3 7
Futures Trading Under Mean Reversion 0 0 4 40 4 35 48 131
Introduction 1 2 17 132 4 7 38 216
Optimal Liquidation of Options 0 0 0 11 2 3 8 31
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 2 3 1 2 14 27
Trading Credit Derivatives 0 0 2 11 2 4 10 33
Trading Under the CIR Model 0 0 1 14 0 1 6 28
Trading Under the Exponential OU Model 0 1 1 23 4 5 9 60
Trading Under the Ornstein-Uhlenbeck Model 0 1 13 148 2 4 31 268
Total Chapters 1 4 40 383 19 61 171 809

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Statistics updated 2026-11-12