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 9 41
A Stochastic Control Approach to Managed Futures Portfolios 0 1 1 14 0 2 3 36
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 1 2 3 19
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 0 4 6 45
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 5 0 2 2 15
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 0 2 3 98
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 0 0 1 22
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 2 2 2 26
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 1 25 3 5 12 128
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 2 2 2 90
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 1 3 4 27
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 0 0 0 51
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 0 0 4 36 1 1 16 70
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 0 0 2 8
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 1 2 28 2 5 6 112
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 1 1 15 0 6 8 32
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 1 2 5 37
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 0 9 0 0 0 28
Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework 1 1 1 5 3 4 8 14
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 1 7 0 0 1 38
Optimal Dynamic Basis Trading 0 0 0 9 2 3 8 45
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 2 4 4 20
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 0 0 10 0 0 1 13
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 13 0 0 1 34
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 2 3 6 97 6 14 27 335
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 0 3 4 44
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 2 2 3 23
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 5 2 3 4 45
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics 0 0 0 11 2 2 2 13
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs 0 0 0 3 0 0 0 20
Optimal Static Quadratic Hedging 0 0 0 22 0 0 0 59
Optimal Timing to Purchase Options 0 0 0 15 0 0 0 76
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 1 7 0 0 3 37
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 2 3 4 57
Optimal Trading with a Trailing Stop 0 2 4 224 2 13 20 92
Optimal positioning in derivative securities in incomplete markets 0 0 1 6 0 1 2 7
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 8 0 1 1 35
Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics 0 3 4 4 1 3 4 4
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 1 4
Risk Premia and Optimal Liquidation of Credit Derivatives 0 0 0 6 0 0 0 80
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs 0 1 1 4 0 2 3 10
Speculative Futures Trading under Mean Reversion 0 0 0 19 2 5 8 69
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 0 2 2 50
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 1 1 22 2 6 14 122
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 2 3 6 49
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 0 1 2 34
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 0 1 5 41
Total Working Papers 3 14 29 844 43 120 222 2,410

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 5 15 53
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 0 0 0 0 1 1 5 10
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 2 5 5 21
A flexible regime-switching framework for foreign exchange dynamics 1 2 2 2 1 3 3 3
A stochastic control approach to managed futures portfolios 0 0 0 4 1 3 6 40
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 1 1 16 1 3 4 116
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 0 2 19
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 1 1 3 42
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 1 1 2 4
American step-up and step-down default swaps under L�vy models 0 0 0 4 1 2 4 34
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 4 4 7 40
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 1 1 4 1 5 7 95
Constrained dynamic futures portfolios with stochastic basis 0 0 0 6 0 2 8 43
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 0 0 6 44 1 4 22 152
Default swap games driven by spectrally negative Lévy processes 0 0 0 1 1 2 2 19
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 1 1 1 2 19
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 0 2 4 22
Foreign currency exposure within country exchange traded funds 0 0 0 8 0 0 2 36
How to mine gold without digging 0 0 0 3 2 2 7 30
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 0 2 3 22
Implied Volatility of Leveraged ETF Options 0 0 0 11 3 5 11 89
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 1 1 2 28
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 0 1 3 44
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 0 0 5 2 3 5 36
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 0 0 0 0 1 2 3 3
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 1 6 0 1 6 16
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 1 2 2 6
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 0 1 4 10
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 2 2 3 13 3 7 8 50
On the efficacy of optimized exit rule for mean reversion trading 0 0 1 18 3 5 11 51
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 0 5 0 1 3 44
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 1 2 4 28
Optimal dynamic basis trading 0 0 0 8 4 6 10 50
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 0 1 2 8
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 0 0 12 0 1 6 41
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 0 5 1 1 4 109
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 1 13 0 0 3 73
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 1 5 0 0 1 26
Optimal static quadratic hedging 0 0 0 2 0 1 3 20
Optimal trading of a basket of futures contracts 0 0 0 2 0 0 1 25
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 0 3 4 40
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 1 2 0 0 2 29
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 0 1 1 11
Speculative Futures Trading under Mean Reversion 0 0 1 11 1 2 3 59
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 1 1 2 41
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 1 3 3 3 9 58
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 2 6 6 35
Total Journal Articles 3 6 25 268 47 105 232 1,850

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 1 3 6 17 2 4 11 38
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 3 10 51 340 10 27 119 1,022
Stochastic Control Approach to Futures Trading 0 3 10 10 1 5 26 26
Total Books 4 16 67 367 13 36 156 1,086
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 4
Credit derivatives and risk aversion 0 0 1 1 0 0 2 4
Futures Trading Under Mean Reversion 1 2 8 37 1 3 14 84
Introduction 1 5 21 116 5 11 37 183
Optimal Liquidation of Options 0 0 2 11 1 2 6 24
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 1 0 3 5 13
Trading Credit Derivatives 0 0 2 9 0 2 7 23
Trading Under the CIR Model 1 1 2 14 2 3 4 24
Trading Under the Exponential OU Model 0 0 2 22 0 1 4 51
Trading Under the Ornstein-Uhlenbeck Model 0 3 18 135 2 8 28 239
Total Chapters 3 11 56 346 11 34 109 649

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Statistics updated 2025-12-06