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 4 6 14 47
A Stochastic Control Approach to Managed Futures Portfolios 0 0 1 14 6 6 9 42
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 1 3 5 21
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 0 6 12 51
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 5 7 7 9 22
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 0 4 7 102
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 1 1 2 23
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 3 8 8 32
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 25 7 17 25 142
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 5 10 10 98
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 0 2 5 28
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 1 1 1 52
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 1 2 6 38 15 29 44 98
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 2 2 3 10
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 1 28 1 5 8 115
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 1 2 16 3 6 14 38
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 7 9 13 45
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 0 9 0 1 1 29
Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework 1 2 2 6 6 10 15 21
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 1 7 2 2 3 40
Optimal Dynamic Basis Trading 0 0 0 9 5 8 14 51
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 4 9 11 27
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 0 10 3 4 5 17
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 13 2 2 2 36
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 0 2 6 97 14 34 54 363
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 8 9 13 53
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 3 5 6 26
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 5 5 9 11 52
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 1 4 4 15
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 3 2 4 4 24
Optimal Static Quadratic Hedging 0 0 0 22 2 3 3 62
Optimal Timing to Purchase Options 0 0 0 15 2 4 4 80
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 0 7 2 2 4 39
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 1 6 8 61
Optimal Trading with a Trailing Stop 2 4 8 228 16 28 43 118
Optimal positioning in derivative securities in incomplete markets 0 0 1 6 1 1 3 8
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing 0 0 0 6 2 2 2 57
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach 0 0 0 8 4 5 6 40
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics 0 0 4 4 3 6 9 9
Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management 0 0 0 0 1 2 3 6
Risk Premia and Optimal Liquidation of Credit Derivatives 0 0 0 6 5 5 5 85
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs 0 0 1 4 4 4 7 14
Speculative Futures Trading under Mean Reversion 0 1 1 20 4 7 13 74
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 2 4 6 54
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 0 1 22 9 13 24 133
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 1 3 6 50
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 3 6 8 40
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 6 6 10 47
Total Working Papers 4 12 35 853 186 330 496 2,697

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 2 4 18 56
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 0 0 0 0 0 4 8 13
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 7 12 15 31
A flexible regime-switching framework for foreign exchange dynamics 0 1 2 2 3 9 11 11
A stochastic control approach to managed futures portfolios 0 0 0 4 5 9 13 48
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 1 16 0 1 4 116
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 4 6 7 25
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 1 3 4 44
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 2 5 5 8
American step-up and step-down default swaps under L�vy models 0 0 0 4 7 9 12 42
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 8 12 14 48
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 1 4 9 12 18 106
Constrained dynamic futures portfolios with stochastic basis 0 0 0 6 0 2 6 45
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 1 1 6 45 4 18 37 169
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 3 4 5 22
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 2 3 4 21
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 5 6 8 28
Foreign currency exposure within country exchange traded funds 0 0 0 8 2 6 8 42
How to mine gold without digging 0 0 0 3 4 7 11 35
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 2 4 7 26
Implied Volatility of Leveraged ETF Options 0 0 0 11 1 6 10 92
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 5 7 8 34
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 3 3 5 47
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 1 1 1 6 8 11 14 45
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 1 1 1 1 6 9 11 11
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 1 6 1 4 8 20
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 4 9 10 14
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 5 6 8 16
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 2 2 13 4 7 11 54
On the efficacy of optimized exit rule for mean reversion trading 0 0 1 18 2 7 14 55
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 0 5 7 10 13 54
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 1 3 6 30
Optimal dynamic basis trading 0 1 1 9 4 14 19 60
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 5 8 10 16
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 0 0 12 6 7 12 48
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 1 1 1 6 4 8 10 116
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 0 13 6 7 9 80
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 5 3 4 4 30
Optimal static quadratic hedging 0 0 0 2 2 2 5 22
Optimal trading of a basket of futures contracts 0 0 0 2 1 2 3 27
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 1 2 6 42
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 1 1 3 2 5 6 34
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 4 7 8 18
Speculative Futures Trading under Mean Reversion 0 0 1 11 3 5 7 63
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 3 4 4 44
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 1 3 9 13 18 68
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 1 3 7 36
Total Journal Articles 4 9 26 274 171 309 461 2,112

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 1 5 17 3 7 14 43
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 7 11 43 348 17 40 123 1,052
Stochastic Control Approach to Futures Trading 2 2 11 12 3 5 21 30
Total Books 9 14 59 377 23 52 158 1,125
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 2 5
Credit derivatives and risk aversion 0 0 1 1 1 2 4 6
Futures Trading Under Mean Reversion 0 1 8 37 0 1 13 84
Introduction 1 6 22 121 4 16 42 194
Optimal Liquidation of Options 0 0 1 11 1 3 7 26
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 1 1 2 5 6 9 19
Trading Credit Derivatives 0 2 3 11 2 4 10 27
Trading Under the CIR Model 0 1 2 14 0 2 4 24
Trading Under the Exponential OU Model 0 0 2 22 3 3 6 54
Trading Under the Ornstein-Uhlenbeck Model 3 5 21 140 5 12 34 249
Total Chapters 4 16 61 359 22 50 131 688

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Statistics updated 2026-02-12