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 1 15 50
A Stochastic Control Approach to Managed Futures Portfolios 0 0 1 14 0 1 15 49
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 0 0 6 23
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 0 1 12 52
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 5 0 1 15 28
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 1 1 10 105
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 0 0 10 32
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 1 3 11 35
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 25 1 6 34 155
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 3 5 16 104
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 0 9 18 42
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 0 1 7 58
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 0 1 5 40 2 24 92 157
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 0 0 3 11
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 2 29 0 1 13 120
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 1 3 17 0 2 17 43
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 0 1 19 53
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 0 9 0 0 3 31
Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework 0 0 4 8 0 1 27 37
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 0 7 0 0 6 44
Optimal Dynamic Basis Trading 0 0 0 9 0 2 17 58
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 0 1 15 31
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 0 10 0 0 8 21
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 13 1 1 7 41
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 1 3 8 102 5 25 115 434
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 0 1 19 60
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 0 0 9 30
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 1 1 1 6 1 3 17 58
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 1 2 8 19
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 3 0 0 6 26
Optimal Static Quadratic Hedging 0 0 0 22 0 0 6 65
Optimal Timing to Purchase Options 0 0 0 15 1 1 14 90
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 0 7 0 0 8 45
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 0 0 11 64
Optimal Trading with a Trailing Stop 0 2 9 231 3 22 118 197
Optimal positioning in derivative securities in incomplete markets 0 0 0 6 0 1 6 12
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing 0 0 0 6 0 0 3 58
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach 0 0 0 8 0 0 11 45
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics 0 0 3 4 1 3 19 20
Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management 0 0 0 0 0 0 3 7
Risk Premia and Optimal Liquidation of Credit Derivatives 0 0 0 6 0 0 7 87
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs 0 0 1 4 1 2 12 20
Speculative Futures Trading under Mean Reversion 1 1 2 21 3 5 29 92
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 0 1 10 58
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 0 1 22 2 4 35 151
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 0 2 9 54
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 0 0 16 49
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 1 3 21 60
Total Working Papers 3 9 40 869 28 137 908 3,181

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 1 16 0 4 18 63
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 0 0 1 1 0 3 14 21
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 0 1 20 36
A flexible regime-switching framework for foreign exchange dynamics 0 0 3 3 0 2 19 19
A stochastic control approach to managed futures portfolios 0 0 0 4 0 1 15 52
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 1 16 1 2 7 120
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 0 8 26
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 0 0 10 50
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 0 0 7 10
American step-up and step-down default swaps under L�vy models 0 0 0 4 1 1 20 52
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 0 0 17 53
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 1 4 2 15 60 150
Constrained dynamic futures portfolios with stochastic basis 0 1 1 7 1 2 12 52
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 0 0 9 53 4 13 66 212
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 0 0 8 25
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 2 2 11 29
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 0 1 12 32
Foreign currency exposure within country exchange traded funds 0 0 0 8 1 16 31 66
How to mine gold without digging 0 0 0 3 1 2 12 40
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 1 1 11 31
Implied Volatility of Leveraged ETF Options 0 0 0 11 2 3 27 111
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 0 11 38
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 1 3 0 0 9 51
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 0 1 6 1 1 17 50
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 0 0 1 1 0 0 12 13
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 0 6 0 0 6 21
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 2 2 16 20
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 0 0 12 21
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 1 3 14 19 30 51 94
On the efficacy of optimized exit rule for mean reversion trading 1 2 4 22 6 8 24 70
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 1 6 0 0 21 64
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 1 4 16 42
Optimal dynamic basis trading 0 0 1 9 1 1 20 62
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 0 0 15 22
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 2 2 14 1 4 19 59
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 1 6 1 1 18 126
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 0 13 0 3 14 87
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 5 0 2 14 40
Optimal static quadratic hedging 0 0 0 2 0 2 9 27
Optimal trading of a basket of futures contracts 0 0 0 2 1 1 9 34
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 2 2 9 46
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 1 3 1 1 12 40
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 1 1 16 26
Speculative Futures Trading under Mean Reversion 0 0 0 11 1 1 11 68
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 0 1 7 47
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 0 3 3 5 36 90
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 0 1 11 40
Total Journal Articles 1 6 33 294 57 140 820 2,548

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 4 17 0 0 14 47
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 2 9 43 367 12 66 180 1,162
Stochastic Control Approach to Futures Trading 0 0 11 18 1 3 22 43
Total Books 2 9 58 402 13 69 216 1,252
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 1 1 5 8
Credit derivatives and risk aversion 0 0 0 1 0 0 4 7
Futures Trading Under Mean Reversion 0 0 6 40 1 3 17 96
Introduction 2 4 22 130 2 5 41 209
Optimal Liquidation of Options 0 0 0 11 2 2 6 28
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 1 2 3 0 3 15 25
Trading Credit Derivatives 0 0 2 11 0 0 8 29
Trading Under the CIR Model 0 0 1 14 0 0 6 27
Trading Under the Exponential OU Model 0 0 0 22 0 0 5 55
Trading Under the Ornstein-Uhlenbeck Model 1 3 17 147 1 7 35 264
Total Chapters 3 8 50 379 7 21 142 748

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Statistics updated 2026-08-07