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 1 4 36
A Stochastic Control Approach to Managed Futures Portfolios 1 1 1 14 1 1 2 35
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 0 1 1 17
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 1 2 3 42
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 5 0 0 0 13
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 1 2 2 97
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 0 0 1 24
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 2 25 1 5 10 124
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 0 0 0 88
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 0 0 1 24
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 1 4 36 0 9 16 69
Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery 0 0 0 1 0 0 3 8
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 1 27 0 0 1 107
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 0 0 14 2 2 6 28
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 0 2 3 35
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 0 0 0 4 0 1 4 10
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 0 2 6 42
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 0 0 0 8 0 0 0 16
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 0 2 3 94 0 5 19 321
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 0 0 1 41
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 0 0 1 21
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 5 0 1 1 42
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 3 0 0 0 20
Optimal Static Quadratic Hedging 0 0 0 22 0 0 1 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 1 3 37
Optimal Trading of a Basket of Futures Contracts 0 0 0 5 1 2 2 55
Optimal Trading with a Trailing Stop 1 1 3 223 3 4 12 82
Optimal positioning in derivative securities in incomplete markets 0 0 1 6 1 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 0 0 34
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 0 0 3 0 0 1 8
Speculative Futures Trading under Mean Reversion 0 0 1 19 0 2 4 64
Stochastic Modeling and Fair Valuation of Drawdown Insurance 0 0 0 12 0 0 0 48
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs 0 0 0 21 0 0 9 116
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 23 0 2 4 46
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 5 0 0 1 33
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 0 1 6 40
Total Working Papers 2 5 18 831 12 47 135 2,301

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 2 7 16 1 6 17 49
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices 0 0 0 0 0 2 4 9
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 2 2 2 18
A stochastic control approach to managed futures portfolios 0 0 0 4 0 0 4 37
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 15 0 0 1 113
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 1 2 19
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 0 1 3 41
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 0 0 2 3
American step-up and step-down default swaps under L�vy models 0 0 0 4 0 0 2 32
An optimal multiple stopping approach to infrastructure investment decisions 0 0 0 2 0 1 4 36
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 0 3 2 3 5 92
Constrained dynamic futures portfolios with stochastic basis 0 0 1 6 1 2 9 42
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 0 0 8 44 0 5 22 148
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 18
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 0 0 2 20
Foreign currency exposure within country exchange traded funds 0 0 0 8 0 1 3 36
How to mine gold without digging 0 0 0 3 0 0 5 28
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 3 0 0 1 20
Implied Volatility of Leveraged ETF Options 0 0 1 11 0 0 7 84
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 1 2 27
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 0 1 2 43
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 0 0 5 0 0 2 33
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework 0 0 0 0 0 0 1 1
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 1 6 0 0 5 15
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 0 2 0 0 0 4
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 0 0 3 9
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 0 1 11 1 1 3 44
On the efficacy of optimized exit rule for mean reversion trading 0 0 2 18 0 1 7 46
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 0 5 0 1 2 43
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 1 1 4 27
Optimal dynamic basis trading 0 0 0 8 1 4 6 45
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 0 0 2 7
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 0 0 12 1 1 6 41
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 0 5 0 0 4 108
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 1 13 0 0 5 73
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 1 5 0 0 2 26
Optimal static quadratic hedging 0 0 0 2 0 1 2 19
Optimal trading of a basket of futures contracts 0 0 0 2 0 1 2 25
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 1 1 2 38
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 1 2 0 1 2 29
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 0 0 0 10
Speculative Futures Trading under Mean Reversion 0 0 2 11 1 1 6 58
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 0 0 1 40
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 1 3 0 1 6 55
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 1 1 1 30
Total Journal Articles 0 2 27 262 13 42 174 1,758

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 2 3 14 0 2 7 34
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 4 13 62 334 8 31 133 1,003
Stochastic Control Approach to Futures Trading 1 2 8 8 1 3 22 22
Total Books 5 17 73 356 9 36 162 1,059
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 0 1 3
Credit derivatives and risk aversion 0 0 1 1 0 1 2 4
Futures Trading Under Mean Reversion 1 2 11 36 2 5 19 83
Introduction 3 9 26 114 3 12 38 175
Optimal Liquidation of Options 0 0 2 11 1 1 6 23
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 1 1 1 3 11
Trading Credit Derivatives 0 0 2 9 1 3 7 22
Trading Under the CIR Model 0 0 1 13 1 1 3 22
Trading Under the Exponential OU Model 0 0 2 22 1 1 5 51
Trading Under the Ornstein-Uhlenbeck Model 2 7 24 134 3 9 31 234
Total Chapters 6 18 69 341 13 34 115 628

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Statistics updated 2025-10-06