Details about Tim S.T. Leung

Access statistics for papers by Tim S.T. Leung.

Last updated 2022-12-19. Update your information in the RePEc Author Service.

Short-id: ple640

Working Papers

2021

1. Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
   Papers, arXiv.org View citations (1)
   See also Journal Article in International Journal of Financial Engineering (IJFE) (2022)
2. Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning
   Papers, arXiv.org View citations (3)
3. Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
   Papers, arXiv.org

2019

4. A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
   Papers, arXiv.org
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2020)
5. Optimal Dynamic Basis Trading
   Papers, arXiv.org View citations (7)
   See also Journal Article in Annals of Finance (2019)
6. Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
   Papers, arXiv.org View citations (1)
   See also Journal Article in International Journal of Financial Engineering (IJFE) (2019)
7. Optimal Trading of a Basket of Futures Contracts
   Papers, arXiv.org
   See also Journal Article in Annals of Finance (2020)
8. Optimal Trading with a Trailing Stop
   Papers, arXiv.org View citations (3)
9. Tracking VIX with VIX Futures: Portfolio Construction and Performance
   Papers, arXiv.org
   See also Chapter (2020)

2018

10. A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
    Papers, arXiv.org
11. A Stochastic Control Approach to Managed Futures Portfolios
    Papers, arXiv.org
    See also Journal Article in International Journal of Financial Engineering (IJFE) (2019)
12. Mean Reversion Trading with Sequential Deadlines and Transaction Costs
    Papers, arXiv.org
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
13. Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
    Papers, arXiv.org View citations (1)
14. Optimal Timing to Trade Along a Randomized Brownian Bridge
    Papers, arXiv.org View citations (9)
    See also Journal Article in IJFS (2018)

2017

15. Dynamic Index Tracking and Risk Exposure Control Using Derivatives
    Papers, arXiv.org
    See also Journal Article in Applied Mathematical Finance (2018)
16. Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
    Papers, arXiv.org View citations (3)
    See also Journal Article in International Journal of Financial Engineering (IJFE) (2017)
17. Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
    Papers, arXiv.org View citations (5)
    See also Journal Article in Annals of Finance (2017)
18. Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
    Papers, arXiv.org View citations (4)
    See also Journal Article in Journal of Commodity Markets (2017)

2016

19. Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
    Papers, arXiv.org
    See also Journal Article in Studies in Economics and Finance (2017)
20. Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
    Papers, arXiv.org View citations (1)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2017)
21. Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
    Papers, arXiv.org View citations (1)
22. Speculative Futures Trading under Mean Reversion
    Papers, arXiv.org View citations (21)
    See also Journal Article in Asia-Pacific Financial Markets (2016)
23. Understanding the Tracking Errors of Commodity Leveraged ETFs
    Papers, arXiv.org View citations (9)

2015

24. Accounting for Earnings Announcements in the Pricing of Equity Options
    Papers, arXiv.org
    See also Journal Article in Journal of Financial Engineering (JFE) (2014)
25. An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
    Papers, arXiv.org View citations (9)
    See also Journal Article in Journal of Economic Dynamics and Control (2015)
26. An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
    Papers, arXiv.org View citations (13)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
27. ESO Valuation with Job Termination Risk and Jumps in Stock Price
    Papers, arXiv.org View citations (1)
28. Leveraged {ETF} implied volatilities from {ETF} dynamics
    Papers, arXiv.org View citations (10)
29. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
    Papers, arXiv.org View citations (11)
    See also Journal Article in Journal of Financial Engineering (JFE) (2015)
30. Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
    Papers, arXiv.org View citations (53)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
31. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
    Papers, arXiv.org View citations (7)
32. Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
    Papers, arXiv.org View citations (21)
33. Optimal Static Quadratic Hedging
    Papers, arXiv.org View citations (2)
    See also Journal Article in Quantitative Finance (2016)
34. Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
    Papers, arXiv.org View citations (1)
    See also Journal Article in European Journal of Operational Research (2016)
35. The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
    Papers, arXiv.org View citations (14)
    See also Journal Article in Studies in Economics and Finance (2015)

2014

36. Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
    Papers, arXiv.org View citations (15)

2013

37. Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
    Papers, arXiv.org View citations (5)
    See also Journal Article in Finance and Stochastics (2013)
38. Stochastic Modeling and Fair Valuation of Drawdown Insurance
    Papers, arXiv.org View citations (18)
    See also Journal Article in Insurance: Mathematics and Economics (2013)

2012

39. American Step-Up and Step-Down Default Swaps under Levy Models
    Papers, arXiv.org View citations (2)
40. Default Swap Games Driven by Spectrally Negative Levy Processes
    Papers, arXiv.org View citations (1)
    See also Journal Article in Stochastic Processes and their Applications (2013)
41. Risk Premia and Optimal Liquidation of Credit Derivatives
    Papers, arXiv.org View citations (15)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)

2011

42. Optimal Timing to Purchase Options
    Papers, arXiv.org View citations (11)

2010

43. Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management
    Post-Print, HAL

Journal Articles

2022

1. Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices
   International Journal of Financial Engineering (IJFE), 2022, 09, (01), 1-23
   See also Working Paper (2021)
2. Constrained dynamic futures portfolios with stochastic basis
   Annals of Finance, 2022, 18, (1), 1-33

2021

3. Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics
   JRFM, 2021, 14, (10), 1-22
4. OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK
   International Journal of Theoretical and Applied Finance (IJTAF), 2021, 24, (05), 1-27 View citations (1)

2020

5. A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (02), 1-29
   See also Working Paper (2019)
6. On the efficacy of optimized exit rule for mean reversion trading
   International Journal of Financial Engineering (IJFE), 2020, 07, (03), 1-20
7. Optimal trading of a basket of futures contracts
   Annals of Finance, 2020, 16, (2), 253-280 View citations (1)
   See also Working Paper (2019)

2019

8. A stochastic control approach to managed futures portfolios
   International Journal of Financial Engineering (IJFE), 2019, 06, (01), 1-22 View citations (7)
   See also Working Paper (2018)
9. Constructing cointegrated cryptocurrency portfolios for statistical arbitrage
   Studies in Economics and Finance, 2019, 36, (4), 581-599 View citations (6)
10. EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM
    International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (04), 1-23 View citations (1)
11. How to mine gold without digging
    International Journal of Financial Engineering (IJFE), 2019, 06, (01), 1-30
12. Optimal dynamic basis trading
    Annals of Finance, 2019, 15, (3), 307-335 View citations (6)
    See also Working Paper (2019)
13. Optimal dynamic futures portfolio in a regime-switching market framework
    International Journal of Financial Engineering (IJFE), 2019, 06, (04), 1-27 View citations (1)
    See also Working Paper (2019)
14. Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
    Annals of Finance, 2019, 15, (1), 1-28

2018

15. Dynamic Index Tracking and Risk Exposure Control Using Derivatives
    Applied Mathematical Finance, 2018, 25, (2), 180-212 View citations (4)
    See also Working Paper (2017)
16. MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS
    International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (01), 1-22
    See also Working Paper (2018)
17. Optimal Timing to Trade along a Randomized Brownian Bridge
    IJFS, 2018, 6, (3), 1-23 View citations (9)
    See also Working Paper (2018)
18. Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
    International Journal of Financial Engineering (IJFE), 2018, 05, (03), 1-23 View citations (10)

2017

19. Asynchronous ADRs: overnight vs intraday returns and trading strategies
    Studies in Economics and Finance, 2017, 34, (4), 580-596
    See also Working Paper (2016)
20. LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS
    Mathematical Finance, 2017, 27, (4), 1035-1068 View citations (4)
21. LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 1-33 View citations (1)
    See also Working Paper (2016)
22. Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty
    International Journal of Financial Engineering (IJFE), 2017, 04, (02n03), 1-29 View citations (3)
    See also Working Paper (2017)
23. Optimal mean-reverting spread trading: nonlinear integral equation approach
    Annals of Finance, 2017, 13, (2), 181-203 View citations (6)
    See also Working Paper (2017)
24. Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options
    Journal of Commodity Markets, 2017, 6, (C), 32-49 View citations (4)
    See also Working Paper (2017)

2016

25. Foreign currency exposure within country exchange traded funds
    Studies in Economics and Finance, 2016, 33, (2), 222-243 View citations (1)
26. Impact of risk aversion and belief heterogeneity on trading of defaultable claims
    Annals of Operations Research, 2016, 243, (1), 117-146 View citations (2)
27. Optimal static quadratic hedging
    Quantitative Finance, 2016, 16, (9), 1341-1355 View citations (8)
    See also Working Paper (2015)
28. Pricing derivatives with counterparty risk and collateralization: A fixed point approach
    European Journal of Operational Research, 2016, 249, (2), 525-539 View citations (11)
    See also Working Paper (2015)
29. Speculative Futures Trading under Mean Reversion
    Asia-Pacific Financial Markets, 2016, 23, (4), 281-304 View citations (20)
    See also Working Paper (2016)

2015

30. AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (05), 1-31 View citations (12)
    See also Working Paper (2015)
31. An optimal multiple stopping approach to infrastructure investment decisions
    Journal of Economic Dynamics and Control, 2015, 53, (C), 251-267 View citations (8)
    See also Working Paper (2015)
32. Implied Volatility of Leveraged ETF Options
    Applied Mathematical Finance, 2015, 22, (2), 162-188 View citations (11)
33. OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (03), 1-31 View citations (43)
    See also Working Paper (2015)
34. Optimal derivative liquidation timing under path-dependent risk penalties
    Journal of Financial Engineering (JFE), 2015, 02, (01), 1-32 View citations (10)
    See also Working Paper (2015)
35. The golden target: analyzing the tracking performance of leveraged gold ETFs
    Studies in Economics and Finance, 2015, 32, (3), 278-297 View citations (14)
    See also Working Paper (2015)

2014

36. Accounting for earnings announcements in the pricing of equity options
    Journal of Financial Engineering (JFE), 2014, 01, (04), 1-46 View citations (2)
    See also Working Paper (2015)

2013

37. American step-up and step-down default swaps under L�vy models
    Quantitative Finance, 2013, 13, (1), 137-157 View citations (9)
38. Default swap games driven by spectrally negative Lévy processes
    Stochastic Processes and their Applications, 2013, 123, (2), 347-384 View citations (9)
    See also Working Paper (2012)
39. Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
    Finance and Stochastics, 2013, 17, (4), 839-870 View citations (5)
    See also Working Paper (2013)
40. Stochastic modeling and fair valuation of drawdown insurance
    Insurance: Mathematics and Economics, 2013, 53, (3), 840-850 View citations (18)
    See also Working Paper (2013)

2012

41. RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-34 View citations (14)
    See also Working Paper (2012)

2009

42. ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
    Mathematical Finance, 2009, 19, (1), 99-128 View citations (34)

Books

2021

1. Employee Stock Options:Exercise Timing, Hedging, and Valuation
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

2016

2. Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (23)

Chapters

2020

1. Tracking VIX with VIX Futures: Portfolio Construction and Performance
   Chapter 21 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 557-596 View citations (1)
   See also Working Paper (2019)

2016

2. Futures Trading Under Mean Reversion
   Chapter 5 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 105-127 View citations (21)
3. Introduction
   Chapter 1 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 1-10
4. Optimal Liquidation of Options
   Chapter 6 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 129-161
5. Trading Credit Derivatives
   Chapter 7 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 163-199
6. Trading Under the CIR Model
   Chapter 4 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 81-103
7. Trading Under the Exponential OU Model
   Chapter 3 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 51-80
8. Trading Under the Ornstein-Uhlenbeck Model
   Chapter 2 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 11-50

2013

9. An Optimal Timing Approach to Option Portfolio Risk Management
   Palgrave Macmillan View citations (1)