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 1 3 32
A Stochastic Control Approach to Managed Futures Portfolios 0 0 0 13 0 1 1 33
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 0 1 1 16
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 0 0 1 38
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 0 4 0 0 0 11
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 26 0 0 1 95
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 0 0 2 21
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 0 1 2 22
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 22 1 3 8 111
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 0 23
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 0 1 1 51
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 1 2 5 32 2 7 14 51
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 0 26 0 0 1 104
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 0 0 14 0 0 1 21
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 0 19 0 1 2 31
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 0 0 0 9 0 1 1 28
Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework 0 1 3 3 1 2 4 4
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 0 6 0 1 4 37
Optimal Dynamic Basis Trading 0 0 1 9 0 0 1 36
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 1 10 0 0 2 11
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 1 1 12 0 1 1 30
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 0 1 4 91 0 5 16 296
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 0 45 1 1 3 40
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 1 5 0 1 2 41
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 1 3 0 1 2 20
Optimal Static Quadratic Hedging 0 0 0 22 0 0 0 58
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 6 0 2 3 33
Optimal Trading of a Basket of Futures Contracts 0 0 1 5 1 1 5 53
Optimal Trading with a Trailing Stop 0 1 3 217 0 1 7 63
Optimal positioning in derivative securities in incomplete markets 3 3 3 3 2 3 3 3
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 1 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 0 3
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 3 3 0 0 7 7
Speculative Futures Trading under Mean Reversion 0 0 0 18 0 1 1 60
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 0 0 21 0 0 4 107
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 22 0 0 0 41
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 0 4 0 0 1 30
Understanding the Tracking Errors of Commodity Leveraged ETFs 0 0 0 10 0 0 5 34
Total Working Papers 4 9 28 800 8 37 111 2,122


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 1 4 7 7 5 15 27 27
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 0 0 2 16
A stochastic control approach to managed futures portfolios 0 0 0 4 1 1 5 33
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 15 0 1 1 112
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 1 2 17
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 1 1 3 37
Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices 0 0 0 0 0 0 0 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 0 1 2 0 0 1 31
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 0 3 1 1 2 87
Constrained dynamic futures portfolios with stochastic basis 0 1 2 3 0 1 8 28
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 1 5 14 35 3 12 41 120
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 17
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 0 0 2 17
Foreign currency exposure within country exchange traded funds 0 0 0 7 0 0 0 31
How to mine gold without digging 0 0 0 3 0 0 1 23
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 1 3 0 0 1 19
Implied Volatility of Leveraged ETF Options 0 0 0 9 0 2 2 75
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 1 1 24
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 0 1 1 40
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 1 1 5 0 2 3 31
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 1 4 1 1 3 9
Multiscale Volatility Analysis for Noisy High-Frequency Prices 0 0 2 2 0 0 3 3
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 0 2 0 0 0 6
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 0 1 10 0 0 4 40
On the efficacy of optimized exit rule for mean reversion trading 0 0 2 14 1 1 7 37
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 3 5 0 1 4 39
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 0 5 0 0 1 23
Optimal dynamic basis trading 0 0 2 7 1 2 5 38
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 2 11 2 2 5 34
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 0 5 0 1 8 100
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 2 12 0 0 3 68
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 4 0 0 1 24
Optimal static quadratic hedging 0 0 0 2 0 1 3 16
Optimal trading of a basket of futures contracts 0 0 0 2 0 0 0 23
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 0 1 1 36
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 0 1 0 0 1 26
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES 0 0 0 2 0 0 0 10
Speculative Futures Trading under Mean Reversion 0 0 0 9 0 0 0 52
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 0 1 1 39
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 0 2 1 2 3 47
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 0 5 0 0 0 28
Total Journal Articles 3 12 41 223 17 52 157 1,536


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 1 10 1 5 6 24
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 10 23 74 245 17 64 214 774
Total Books 10 24 75 255 18 69 220 798


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 2
Credit derivatives and risk aversion 0 0 0 0 0 0 1 1
Futures Trading Under Mean Reversion 0 0 8 21 0 1 18 56
Introduction 2 10 32 77 5 14 45 115
Optimal Liquidation of Options 0 1 4 8 0 4 10 16
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 1 0 1 2 8
Trading Credit Derivatives 0 0 4 7 0 0 7 15
Trading Under the CIR Model 1 1 6 12 1 2 9 19
Trading Under the Exponential OU Model 0 0 4 17 0 3 15 42
Trading Under the Ornstein-Uhlenbeck Model 2 11 32 98 4 24 62 178
Total Chapters 5 23 90 241 10 49 170 452


Statistics updated 2024-05-04