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 0 4 13 47
A Stochastic Control Approach to Managed Futures Portfolios 0 0 1 14 2 10 13 46
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 0 2 6 22
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 0 0 12 51
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 5 2 10 12 25
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 1 1 8 103
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 6 8 8 30
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 0 3 8 32
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 25 4 13 31 148
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 1 6 11 99
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 1 3 8 31
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 1 3 3 54
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 1 2 7 39 17 39 66 122
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 0 2 2 10
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 1 28 1 3 10 117
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 0 2 16 1 6 16 41
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 2 12 18 50
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 0 9 2 2 3 31
Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework 0 2 3 7 6 15 22 30
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 0 7 3 5 5 43
Optimal Dynamic Basis Trading 0 0 0 9 0 6 13 52
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 0 5 12 28
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 0 10 1 5 6 19
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 13 1 3 3 37
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 0 1 7 98 17 42 80 391
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 1 13 17 58
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 1 5 7 28
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 5 0 5 11 52
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 0 1 4 15
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 3 0 2 4 24
Optimal Static Quadratic Hedging 0 0 0 22 0 2 3 62
Optimal Timing to Purchase Options 0 0 0 15 4 6 8 84
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 0 7 1 3 4 40
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 0 1 8 61
Optimal Trading with a Trailing Stop 0 2 8 228 23 60 87 162
Optimal positioning in derivative securities in incomplete markets 0 0 1 6 1 2 4 9
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing 0 0 0 6 0 2 2 57
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach 0 0 0 8 2 6 8 42
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics 0 0 4 4 4 7 13 13
Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management 0 0 0 0 0 2 4 7
Risk Premia and Optimal Liquidation of Credit Derivatives 0 0 0 6 0 5 5 85
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs 0 0 1 4 0 4 7 14
Speculative Futures Trading under Mean Reversion 0 0 1 20 6 11 20 81
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 0 2 6 54
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 0 1 22 3 13 24 137
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 1 2 7 51
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 0 6 10 43
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 4 12 15 53
Total Working Papers 1 7 37 856 120 380 667 2,891

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 5 16 1 4 19 58
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 0 1 1 1 1 3 10 16
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 1 8 16 32
A flexible regime-switching framework for foreign exchange dynamics 0 1 3 3 1 9 17 17
A stochastic control approach to managed futures portfolios 0 0 0 4 0 7 14 50
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 1 16 1 1 5 117
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 4 7 25
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 3 5 8 48
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 1 3 6 9
American step-up and step-down default swaps under L�vy models 0 0 0 4 1 13 17 48
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 3 13 19 53
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 1 4 12 27 36 124
Constrained dynamic futures portfolios with stochastic basis 0 0 0 6 1 2 7 47
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 1 6 10 50 7 25 53 190
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 1 5 7 24
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 1 6 8 25
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 0 8 11 31
Foreign currency exposure within country exchange traded funds 0 0 0 8 2 4 9 44
How to mine gold without digging 0 0 0 3 0 4 11 35
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 0 2 7 26
Implied Volatility of Leveraged ETF Options 0 0 0 11 5 13 22 104
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 9 12 38
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 0 4 6 48
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 1 1 6 0 9 14 46
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 0 1 1 1 1 7 12 12
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 0 6 1 2 8 21
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 2 7 13 17
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 1 8 10 19
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 0 2 13 1 8 15 58
On the efficacy of optimized exit rule for mean reversion trading 0 1 2 19 0 5 15 58
Optimal Timing to Trade along a Randomized Brownian Bridge 0 1 1 6 1 12 17 59
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 0 3 8 32
Optimal dynamic basis trading 0 0 1 9 0 5 20 61
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 0 7 12 18
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 0 0 12 3 10 15 52
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 1 1 6 4 8 13 120
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 0 13 0 8 11 82
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 5 3 8 9 35
Optimal static quadratic hedging 0 0 0 2 0 4 7 24
Optimal trading of a basket of futures contracts 0 0 0 2 5 6 8 32
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 0 2 6 43
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 1 3 0 3 7 35
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 0 8 12 22
Speculative Futures Trading under Mean Reversion 0 0 0 11 0 4 7 64
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 1 5 6 46
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 1 3 8 20 29 79
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 0 1 7 36
Total Journal Articles 1 13 32 283 73 339 608 2,280

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 5 17 2 5 15 45
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 3 12 44 353 15 45 132 1,080
Stochastic Control Approach to Futures Trading 2 5 12 15 3 7 22 34
Total Books 5 17 61 385 20 57 169 1,159
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 1 2 5
Credit derivatives and risk aversion 0 0 1 1 0 1 4 6
Futures Trading Under Mean Reversion 1 2 8 39 3 6 16 90
Introduction 3 5 25 125 4 11 46 201
Optimal Liquidation of Options 0 0 1 11 0 1 5 26
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 1 2 0 6 10 20
Trading Credit Derivatives 0 0 3 11 0 3 10 28
Trading Under the CIR Model 0 0 2 14 2 3 7 27
Trading Under the Exponential OU Model 0 0 1 22 0 4 6 55
Trading Under the Ornstein-Uhlenbeck Model 0 5 22 142 1 10 36 254
Total Chapters 4 12 64 367 10 46 142 712

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Statistics updated 2026-04-09