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 10 0 0 1 27
A Stochastic Control Approach to Managed Futures Portfolios 0 0 0 13 0 0 1 32
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 0 1 2 15
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 0 0 2 37
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 4 0 0 2 11
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 1 26 0 0 1 94
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 0 0 0 19
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 0 0 0 20
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 1 1 1 22 1 1 2 103
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 0 0 1 88
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 0 0 0 22
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 0 0 0 50
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 0 1 5 27 1 4 14 36
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 0 26 0 0 3 102
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 1 1 14 0 1 4 20
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 1 19 1 2 5 29
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 3 9 0 0 5 27
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 1 1 1 6 1 1 1 30
Optimal Dynamic Basis Trading 0 0 1 8 0 0 2 34
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 2 8 0 0 2 16
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 1 8 0 0 1 8
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 11 0 1 2 29
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 0 2 5 87 0 3 11 277
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 2 45 0 1 4 36
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 0 0 0 20
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 4 0 0 2 39
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 0 0 0 11
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 2 0 0 0 18
Optimal Static Quadratic Hedging 0 0 0 22 1 1 3 58
Optimal Timing to Purchase Options 0 0 1 15 0 0 1 76
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 1 1 5 0 1 1 30
Optimal Trading of a Basket of Futures Contracts 0 0 2 4 0 2 9 43
Optimal Trading with a Trailing Stop 0 0 4 214 1 1 9 56
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing 0 0 0 6 0 0 0 55
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach 0 0 0 6 0 0 0 31
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 0 3
Risk Premia and Optimal Liquidation of Credit Derivatives 0 0 0 6 0 0 0 80
Speculative Futures Trading under Mean Reversion 0 0 2 18 0 0 2 59
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 11 0 0 0 47
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 1 1 21 0 1 2 103
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 1 22 0 0 3 40
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 4 1 1 1 29
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 1 10 0 0 2 29
Total Working Papers 2 8 37 768 7 22 101 1,989

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 0 0 0 14
A stochastic control approach to managed futures portfolios 0 0 0 4 0 0 1 27
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 15 0 1 1 111
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 0 0 15
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 0 0 0 34
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 0 1 1 1
American step-up and step-down default swaps under L�vy models 0 0 0 4 0 0 0 30
An optimal multiple stopping approach to infrastructure investment decisions 0 1 1 1 0 1 1 29
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 0 3 1 2 9 84
Constrained dynamic futures portfolios with stochastic basis 0 0 0 0 2 3 13 13
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 1 1 11 18 1 2 20 74
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 0 0 0 17
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 0 0 1 16
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 0 0 0 15
How to mine gold without digging 0 0 0 3 0 0 0 22
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 2 0 0 1 18
Implied Volatility of Leveraged ETF Options 0 0 0 9 1 1 3 73
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 0 1 23
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 0 0 0 39
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 0 0 4 0 0 0 28
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 0 3 0 0 0 6
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 0 1 2 6
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 0 1 9 0 0 2 35
On the efficacy of optimized exit rule for mean reversion trading 0 0 4 11 0 0 5 28
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 0 2 1 1 6 35
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 2 5 1 1 4 21
Optimal dynamic basis trading 0 0 1 5 0 0 1 33
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 0 0 0 5
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 1 1 1 9 1 1 4 29
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 0 5 1 5 16 91
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 1 4 10 0 2 7 64
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 4 0 0 0 23
Optimal static quadratic hedging 0 0 0 2 0 0 0 13
Optimal trading of a basket of futures contracts 0 0 0 2 0 0 1 23
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 0 0 0 35
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 0 1 0 0 0 25
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 0 0 0 10
Speculative Futures Trading under Mean Reversion 0 1 1 9 0 2 3 51
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 0 1 2 38
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 1 5 1 1 3 27
Total Journal Articles 2 5 27 168 10 26 108 1,281
2 registered items for which data could not be found

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 6 9 2 2 10 17
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 2 11 43 166 9 41 158 535
Total Books 2 11 49 175 11 43 168 552

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 1 1
Futures Trading Under Mean Reversion 1 2 6 11 1 4 14 34
Introduction 1 6 23 44 2 9 33 67
Optimal Liquidation of Options 2 2 2 3 3 3 4 5
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 0 0 0 0 5
Trading Credit Derivatives 0 0 1 3 0 0 1 8
Trading Under the CIR Model 0 0 3 6 0 1 6 10
Trading Under the Exponential OU Model 0 1 5 11 0 2 12 24
Trading Under the Ornstein-Uhlenbeck Model 0 8 31 60 2 13 54 108
Total Chapters 4 19 71 138 8 32 125 262

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2023-03-10