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 6 13 47
A Stochastic Control Approach to Managed Futures Portfolios 0 0 1 14 2 8 11 44
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 1 3 6 22
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 1 8 10 23
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 2 2 24
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 0 6 8 32
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 25 2 16 27 144
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 0 8 10 98
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 2 3 7 30
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 1 2 2 53
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 0 2 6 38 7 35 50 105
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 0 2 3 10
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 1 28 1 4 9 116
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 1 2 16 2 8 16 40
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 3 11 16 48
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 3 7 3 10 18 24
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 0 7 0 2 2 40
Optimal Dynamic Basis Trading 0 0 0 9 1 7 14 52
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 1 8 12 28
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 0 10 1 5 5 18
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 13 0 2 2 36
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 1 1 7 98 11 39 64 374
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 4 13 16 57
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 1 4 6 27
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 5 0 7 11 52
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 0 2 4 15
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 3 0 4 4 24
Optimal Static Quadratic Hedging 0 0 0 22 0 3 3 62
Optimal Timing to Purchase Options 0 0 0 15 0 4 4 80
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 0 7 0 2 4 39
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 0 4 8 61
Optimal Trading with a Trailing Stop 0 4 8 228 21 47 64 139
Optimal positioning in derivative securities in incomplete markets 0 0 1 6 0 1 3 8
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 0 5 6 40
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics 0 0 4 4 0 5 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 3 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 1 1 20 1 6 14 75
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 0 4 6 54
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 0 1 22 1 12 22 134
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 0 1 6 50
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 3 9 11 43
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 2 8 11 49
Total Working Papers 2 11 36 855 74 361 557 2,771

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 18 57
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 1 1 1 1 2 5 9 15
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 0 10 15 31
A flexible regime-switching framework for foreign exchange dynamics 1 1 3 3 5 13 16 16
A stochastic control approach to managed futures portfolios 0 0 0 4 2 10 14 50
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 1 16 0 0 4 116
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 6 7 25
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 1 3 5 45
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 0 4 5 8
American step-up and step-down default swaps under L�vy models 0 0 0 4 5 13 16 47
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 2 10 16 50
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 1 4 6 17 24 112
Constrained dynamic futures portfolios with stochastic basis 0 0 0 6 1 3 6 46
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 4 5 9 49 14 31 48 183
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 1 4 6 23
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 3 5 7 24
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 3 9 11 31
Foreign currency exposure within country exchange traded funds 0 0 0 8 0 6 8 42
How to mine gold without digging 0 0 0 3 0 5 11 35
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 0 4 7 26
Implied Volatility of Leveraged ETF Options 0 0 0 11 7 10 17 99
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 4 10 12 38
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 1 4 6 48
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 1 1 6 1 10 15 46
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 0 1 1 1 0 8 11 11
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 1 6 0 4 8 20
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 1 9 11 15
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 2 8 9 18
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 0 2 13 3 7 14 57
On the efficacy of optimized exit rule for mean reversion trading 1 1 2 19 3 7 16 58
Optimal Timing to Trade along a Randomized Brownian Bridge 1 1 1 6 4 14 17 58
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 2 4 8 32
Optimal dynamic basis trading 0 1 1 9 1 11 20 61
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 2 10 12 18
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 0 0 12 1 8 12 49
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 1 1 6 0 7 9 116
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 0 13 2 9 11 82
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 5 2 6 6 32
Optimal static quadratic hedging 0 0 0 2 2 4 7 24
Optimal trading of a basket of futures contracts 0 0 0 2 0 2 3 27
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 1 3 6 43
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 1 1 3 1 6 7 35
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 4 11 12 22
Speculative Futures Trading under Mean Reversion 0 0 1 11 1 5 8 64
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 1 4 5 45
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 1 3 3 13 21 71
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 8 14 33 282 95 357 543 2,207

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 5 14 43
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 2 10 42 350 13 43 120 1,065
Stochastic Control Approach to Futures Trading 1 3 11 13 1 5 20 31
Total Books 3 13 58 380 14 53 154 1,139
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 2 4 6
Futures Trading Under Mean Reversion 1 1 7 38 3 3 14 87
Introduction 1 6 22 122 3 14 42 197
Optimal Liquidation of Options 0 0 1 11 0 2 5 26
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 1 1 2 1 7 10 20
Trading Credit Derivatives 0 2 3 11 1 5 10 28
Trading Under the CIR Model 0 0 2 14 1 1 5 25
Trading Under the Exponential OU Model 0 0 1 22 1 4 6 55
Trading Under the Ornstein-Uhlenbeck Model 2 7 22 142 4 14 35 253
Total Chapters 4 17 60 363 14 53 133 702

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Statistics updated 2026-03-04