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 10 0 1 3 27
A Stochastic Control Approach to Managed Futures Portfolios 0 0 1 13 0 0 4 32
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options 0 0 0 1 0 0 2 14
Accounting for Earnings Announcements in the Pricing of Equity Options 0 0 0 5 0 0 1 36
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices 0 0 2 4 0 0 3 10
American Step-Up and Step-Down Default Swaps under Levy Models 0 0 0 25 0 0 0 93
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions 0 0 0 4 0 0 2 19
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting 0 0 0 2 0 0 1 20
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies 0 0 0 21 0 0 2 102
Default Swap Games Driven by Spectrally Negative Levy Processes 0 0 0 9 0 0 1 88
Dynamic Index Tracking and Risk Exposure Control Using Derivatives 0 0 0 17 0 0 0 22
ESO Valuation with Job Termination Risk and Jumps in Stock Price 0 0 0 5 0 0 0 50
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning 0 1 6 25 0 2 13 30
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 0 26 0 2 2 101
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach 0 0 0 13 0 1 3 18
Mean Reversion Trading with Sequential Deadlines and Transaction Costs 0 0 1 19 1 1 5 26
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation 1 2 3 9 2 4 5 27
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties 0 0 0 5 0 0 1 29
Optimal Dynamic Basis Trading 0 0 1 8 0 0 5 34
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework 1 1 2 8 1 1 4 16
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model 0 1 1 8 0 1 1 8
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty 0 0 0 11 0 0 3 28
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit 0 0 3 85 0 1 7 271
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach 0 0 2 45 0 0 4 35
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models 0 0 0 1 0 0 1 20
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs 0 0 0 4 0 1 2 39
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 2 0 0 0 18
Optimal Static Quadratic Hedging 0 0 0 22 1 1 2 57
Optimal Timing to Purchase Options 0 0 0 14 0 0 1 75
Optimal Timing to Trade Along a Randomized Brownian Bridge 0 0 0 4 0 0 3 29
Optimal Trading of a Basket of Futures Contracts 0 0 2 4 0 2 11 40
Optimal Trading with a Trailing Stop 0 1 2 212 0 2 8 53
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing 0 0 1 6 0 0 1 55
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach 0 0 0 6 0 0 0 31
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
Speculative Futures Trading under Mean Reversion 0 1 2 18 0 1 4 59
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 20 0 1 2 102
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 1 22 0 2 7 40
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options 0 0 1 4 0 0 1 28
Understanding the Tracking Errors of Commodity Leveraged ETFs 1 1 1 10 1 2 2 29
Total Working Papers 3 8 32 755 6 26 117 1,952


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 1 0 0 0 14
A stochastic control approach to managed futures portfolios 0 0 0 4 0 0 2 27
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS 0 0 0 15 0 0 1 110
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING 0 0 0 1 0 0 1 15
Accounting for earnings announcements in the pricing of equity options 0 0 0 1 0 0 3 34
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 0 0 0 0 2 28
Asynchronous ADRs: overnight vs intraday returns and trading strategies 0 0 0 3 1 3 8 81
Constrained dynamic futures portfolios with stochastic basis 0 0 0 0 0 4 8 8
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage 0 3 9 15 0 4 32 70
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 1 1 16
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM 0 0 0 2 0 0 1 15
Foreign currency exposure within country exchange traded funds 0 0 1 7 0 1 4 30
How to mine gold without digging 0 0 0 3 0 0 2 22
Impact of risk aversion and belief heterogeneity on trading of defaultable claims 0 0 0 2 0 0 1 18
Implied Volatility of Leveraged ETF Options 0 0 0 9 1 2 2 72
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 0 1 22
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH 0 0 0 2 0 0 1 39
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS 0 0 0 4 0 0 1 28
Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics 0 0 0 3 0 0 3 6
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK 0 0 1 2 1 1 3 5
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT 0 0 2 9 0 0 3 34
On the efficacy of optimized exit rule for mean reversion trading 0 0 6 11 0 0 11 28
Optimal Timing to Trade along a Randomized Brownian Bridge 0 0 1 2 0 1 6 34
Optimal derivative liquidation timing under path-dependent risk penalties 0 0 2 5 0 0 5 20
Optimal dynamic basis trading 0 0 1 5 0 0 1 33
Optimal dynamic futures portfolio in a regime-switching market framework 0 0 0 0 0 0 2 5
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model 0 0 1 8 1 1 5 27
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty 0 0 0 5 6 7 21 86
Optimal mean-reverting spread trading: nonlinear integral equation approach 0 0 2 8 0 1 7 61
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics 0 0 0 4 0 0 2 23
Optimal static quadratic hedging 0 0 0 2 0 0 2 13
Optimal trading of a basket of futures contracts 0 0 0 2 0 0 1 23
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing 0 0 0 5 0 0 0 35
Pricing derivatives with counterparty risk and collateralization: A fixed point approach 0 0 0 1 0 0 1 25
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 8 0 0 3 49
Stochastic modeling and fair valuation of drawdown insurance 0 0 0 0 0 0 1 37
The golden target: analyzing the tracking performance of leveraged gold ETFs 0 0 0 2 0 1 2 44
Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options 0 0 5 5 0 0 16 26
Total Journal Articles 0 3 31 169 10 27 166 1,320


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 8 9 0 2 13 15
Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications 2 9 41 151 11 32 174 482
Total Books 2 11 49 160 11 34 187 497


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 1
Futures Trading Under Mean Reversion 0 0 5 9 2 2 13 27
Introduction 3 5 25 37 3 7 33 55
Optimal Liquidation of Options 0 0 1 1 0 0 1 1
Tracking VIX with VIX Futures: Portfolio Construction and Performance 0 0 0 0 0 0 1 5
Trading Credit Derivatives 0 0 2 3 0 0 6 8
Trading Under the CIR Model 1 2 4 6 2 3 6 9
Trading Under the Exponential OU Model 0 1 6 10 1 4 12 21
Trading Under the Ornstein-Uhlenbeck Model 3 9 29 49 9 16 55 89
Total Chapters 7 17 72 115 17 32 128 216


Statistics updated 2022-11-05