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 3 15 50
A Stochastic Control Approach to Managed Futures Portfolios 0 0 1 14 0 4 15 48
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 0 1 7 23
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 1 1 12 52
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 5 1 5 15 28
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 0 2 9 104
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 0 8 10 32
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 1 1 9 33
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 25 3 8 33 152
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 0 1 11 99
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 0 3 10 33
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 1 5 7 58
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 1 2 7 40 21 49 96 154
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 0 1 3 11
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 1 2 29 1 4 13 120
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 1 1 3 17 2 3 17 43
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 0 4 20 52
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 0 9 0 2 3 31
Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework 0 1 4 8 1 13 28 37
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 0 7 0 4 6 44
Optimal Dynamic Basis Trading 0 0 0 9 2 6 18 58
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 0 2 14 30
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 0 10 0 3 8 21
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 13 0 4 6 40
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 1 2 9 100 6 41 103 415
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 0 2 18 59
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 0 3 9 30
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 5 2 5 16 57
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 1 3 7 18
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 3 0 2 6 26
Optimal Static Quadratic Hedging 0 0 0 22 0 3 6 65
Optimal Timing to Purchase Options 0 0 0 15 0 9 13 89
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 0 7 0 6 9 45
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 0 3 11 64
Optimal Trading with a Trailing Stop 2 3 10 231 10 46 108 185
Optimal positioning in derivative securities in incomplete markets 0 0 0 6 1 4 6 12
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing 0 0 0 6 0 1 3 58
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach 0 0 0 8 0 5 11 45
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics 0 0 4 4 2 10 19 19
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 4 7
Risk Premia and Optimal Liquidation of Credit Derivatives 0 0 0 6 0 2 7 87
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs 0 0 1 4 0 4 11 18
Speculative Futures Trading under Mean Reversion 0 0 1 20 2 14 28 89
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 1 4 10 58
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 0 1 22 2 15 34 149
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 0 2 8 52
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 0 6 16 49
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 2 10 21 59
Total Working Papers 5 10 43 865 64 337 869 3,108

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 4 16 3 5 21 62
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 0 0 1 1 2 5 13 20
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 0 4 19 35
A flexible regime-switching framework for foreign exchange dynamics 0 0 3 3 1 2 18 18
A stochastic control approach to managed futures portfolios 0 0 0 4 1 2 15 52
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 1 16 1 3 6 119
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 1 8 26
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 0 5 10 50
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 0 2 7 10
American step-up and step-down default swaps under L�vy models 0 0 0 4 0 4 20 51
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 0 3 19 53
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 1 4 6 29 52 141
Constrained dynamic futures portfolios with stochastic basis 0 0 0 6 0 4 10 50
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 0 4 10 53 5 21 62 204
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 0 2 8 25
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 0 3 10 27
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 1 1 12 32
Foreign currency exposure within country exchange traded funds 0 0 0 8 2 10 17 52
How to mine gold without digging 0 0 0 3 1 4 11 39
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 0 4 10 30
Implied Volatility of Leveraged ETF Options 0 0 0 11 1 10 26 109
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 0 12 38
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 1 1 3 0 3 9 51
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 0 1 6 0 3 16 49
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 0 0 1 1 0 2 13 13
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 0 6 0 1 8 21
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 0 3 14 18
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 0 3 12 21
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 1 1 3 14 3 10 24 67
On the efficacy of optimized exit rule for mean reversion trading 1 2 3 21 1 5 19 63
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 1 6 0 6 22 64
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 2 8 14 40
Optimal dynamic basis trading 0 0 1 9 0 0 20 61
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 0 4 16 22
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 2 2 2 14 3 9 18 58
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 1 6 0 9 17 125
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 0 13 2 4 13 86
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 5 2 8 14 40
Optimal static quadratic hedging 0 0 0 2 1 2 9 26
Optimal trading of a basket of futures contracts 0 0 0 2 0 6 9 33
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 0 1 7 44
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 1 3 0 4 11 39
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 0 3 15 25
Speculative Futures Trading under Mean Reversion 0 0 0 11 0 3 10 67
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 1 2 7 47
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 1 3 2 16 37 87
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 0 3 10 39
Total Journal Articles 4 10 36 292 41 242 750 2,449

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 0 4 15 47
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 3 11 42 361 12 43 145 1,108
Stochastic Control Approach to Futures Trading 0 5 14 18 2 11 28 42
Total Books 3 16 61 396 14 58 188 1,197
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 2 4 7
Credit derivatives and risk aversion 0 0 1 1 0 1 5 7
Futures Trading Under Mean Reversion 0 2 6 40 1 7 16 94
Introduction 1 5 25 127 1 8 46 205
Optimal Liquidation of Options 0 0 0 11 0 0 4 26
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 1 2 0 2 12 22
Trading Credit Derivatives 0 0 2 11 0 1 10 29
Trading Under the CIR Model 0 0 1 14 0 2 6 27
Trading Under the Exponential OU Model 0 0 0 22 0 0 5 55
Trading Under the Ornstein-Uhlenbeck Model 1 3 22 145 4 8 40 261
Total Chapters 2 10 58 373 6 31 148 733

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Statistics updated 2026-06-04