Tim S.T. Leung : Citation Profile


Are you Tim S.T. Leung?

9

H index

7

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259

Citations

RESEARCH PRODUCTION:

44

Articles

43

Papers

2

Books

10

Chapters

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 17
   Journals where Tim S.T. Leung has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 54 (17.25 %)

EXPERT IN:

   Duration Analysis; Optimal Timing Strategies
   Portfolio Choice; Investment Decisions
   Asset Pricing; Trading Volume; Bond Interest Rates

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple640
   Updated: 2024-01-16    RAS profile: 2023-08-22    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Tim S.T. Leung.

Is cited by:

Bayraktar, Erhan (4)

Vrins, Frédéric (4)

Brigo, Damiano (3)

Basdekidou, Vasiliki (2)

Yang, Zhaojun (2)

Eisenack, Klaus (2)

Alexander, Carol (2)

Vaello-Sebastià, Antoni (2)

CARMONA, JULIO (2)

Aysan, Ahmet (1)

Zormpas, Dimitrios (1)

Cites to:

merton, robert (14)

Irwin, Scott (9)

Dai, Min (9)

Brennan, Michael (8)

Garcia, Philip (8)

Rouwenhorst, K. (8)

Pascucci, Andrea (7)

Jarrow, Robert (7)

Pérez-Amaral, Teodosio (6)

Jimenez-Martin, Juan (6)

Baur, Dirk (6)

Main data


Where Tim S.T. Leung has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)8
International Journal of Financial Engineering (IJFE)7
Annals of Finance5
Studies in Economics and Finance4
Mathematical Finance2
Quantitative Finance2
Risks2
Applied Mathematical Finance2
Journal of Financial Engineering (JFE)2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org42

Recent works citing Tim S.T. Leung (2024 and 2023)


YearTitle of citing document
2023Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835.

Full description at Econpapers || Download paper

2023L\evy bandits under Poissonian decision times. (2023). Yamazaki, Kazutoshi ; Jos'e-Luis P'erez, . In: Papers. RePEc:arx:papers:2301.07798.

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2023Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2023). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956.

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2023Towards Generalizable Reinforcement Learning for Trade Execution. (2023). Zhao, LI ; Li, Jian ; Chen, Jianyu ; Duan, Yitong ; Zhang, Chuheng. In: Papers. RePEc:arx:papers:2307.11685.

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2023Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512.

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2023Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2023Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs. (2023). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Papers. RePEc:arx:papers:2310.02084.

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2023Pricing contingent convertibles with idiosyncratic risk. (2023). Yang, Zhaojun ; Zeng, Pingping ; Wang, Xiaolin. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:660-693.

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2023A systematic literature review of investor behavior in the cryptocurrency markets. (2023). Gonçalves, Tiago ; Gonalves, Tiago Cruz ; Almeida, Jose. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001071.

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2023A general method for analysis and valuation of drawdown risk. (2023). Li, Lingfei ; Zhang, Gongqiu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:152:y:2023:i:c:s0165188923000751.

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2023.

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2023Speculative trading, prospect theory and transaction costs. (2023). Zheng, Harry. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00494-7.

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2023The Relationship between VIX and Technical Indicator: The Analysis of Shared-Frailty Model. (2023). , Fu-Ying. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_5.

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2023A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03.

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Works by Tim S.T. Leung:


YearTitleTypeCited
2011Optimal Timing to Purchase Options In: Papers.
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paper4
2012American Step-Up and Step-Down Default Swaps under Levy Models In: Papers.
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paper1
2012Default Swap Games Driven by Spectrally Negative Levy Processes In: Papers.
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paper9
2013Default swap games driven by spectrally negative Lévy processes.(2013) In: Stochastic Processes and their Applications.
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This paper has nother version. Agregated cites: 9
article
2013Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing In: Papers.
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paper5
2013Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.(2013) In: Finance and Stochastics.
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This paper has nother version. Agregated cites: 5
article
2012Risk Premia and Optimal Liquidation of Credit Derivatives In: Papers.
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paper3
2012RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 3
article
2013Stochastic Modeling and Fair Valuation of Drawdown Insurance In: Papers.
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paper20
2013Stochastic modeling and fair valuation of drawdown insurance.(2013) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 20
article
2015Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers.
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paper7
2015Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit In: Papers.
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paper38
2015OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 38
article
2014Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs In: Papers.
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paper3
2015Accounting for Earnings Announcements in the Pricing of Equity Options In: Papers.
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paper0
2014Accounting for earnings announcements in the pricing of equity options.(2014) In: Journal of Financial Engineering (JFE).
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This paper has nother version. Agregated cites: 0
article
2015The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs In: Papers.
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paper3
2015The golden target: analyzing the tracking performance of leveraged gold ETFs.(2015) In: Studies in Economics and Finance.
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This paper has nother version. Agregated cites: 3
article
2015Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach In: Papers.
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paper12
2016Pricing derivatives with counterparty risk and collateralization: A fixed point approach.(2016) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 12
article
2015Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties In: Papers.
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paper2
2015Optimal derivative liquidation timing under path-dependent risk penalties.(2015) In: Journal of Financial Engineering (JFE).
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This paper has nother version. Agregated cites: 2
article
2015An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions In: Papers.
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paper7
2015An optimal multiple stopping approach to infrastructure investment decisions.(2015) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 7
article
2015Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs In: Papers.
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paper10
2015ESO Valuation with Job Termination Risk and Jumps in Stock Price In: Papers.
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paper0
2015Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models In: Papers.
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paper6
2015An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting In: Papers.
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paper13
2015AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 13
article
2015Optimal Static Quadratic Hedging In: Papers.
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paper9
2016Optimal static quadratic hedging.(2016) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 9
article
2016Speculative Futures Trading under Mean Reversion In: Papers.
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paper6
2016Speculative Futures Trading under Mean Reversion.(2016) In: Asia-Pacific Financial Markets.
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This paper has nother version. Agregated cites: 6
article
2017Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty In: Papers.
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paper2
2017Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty.(2017) In: International Journal of Financial Engineering (IJFE).
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This paper has nother version. Agregated cites: 2
article
2016Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics In: Papers.
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paper1
2017Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options In: Papers.
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paper0
2017Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options.(2017) In: Journal of Commodity Markets.
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This paper has nother version. Agregated cites: 0
article
2016Understanding the Tracking Errors of Commodity Leveraged ETFs In: Papers.
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paper3
2016Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies In: Papers.
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paper0
2017Asynchronous ADRs: overnight vs intraday returns and trading strategies.(2017) In: Studies in Economics and Finance.
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This paper has nother version. Agregated cites: 0
article
2016Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach In: Papers.
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paper3
2017LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 3
article
2017Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach In: Papers.
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paper1
2017Optimal mean-reverting spread trading: nonlinear integral equation approach.(2017) In: Annals of Finance.
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This paper has nother version. Agregated cites: 1
article
2019Optimal Trading with a Trailing Stop In: Papers.
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paper3
2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives In: Papers.
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paper0
2018Dynamic Index Tracking and Risk Exposure Control Using Derivatives.(2018) In: Applied Mathematical Finance.
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This paper has nother version. Agregated cites: 0
article
2018Mean Reversion Trading with Sequential Deadlines and Transaction Costs In: Papers.
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paper0
2018MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 0
article
2018Optimal Timing to Trade Along a Randomized Brownian Bridge In: Papers.
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paper6
2018Optimal Timing to Trade along a Randomized Brownian Bridge.(2018) In: IJFS.
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This paper has nother version. Agregated cites: 6
article
2018Mean Reverting Portfolios via Penalized OU-Likelihood Estimation In: Papers.
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paper0
2019Optimal Dynamic Basis Trading In: Papers.
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paper2
2019Optimal dynamic basis trading.(2019) In: Annals of Finance.
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This paper has nother version. Agregated cites: 2
article
2018A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization In: Papers.
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paper0
2018A Stochastic Control Approach to Managed Futures Portfolios In: Papers.
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paper1
2019A stochastic control approach to managed futures portfolios.(2019) In: International Journal of Financial Engineering (IJFE).
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This paper has nother version. Agregated cites: 1
article
2019A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options In: Papers.
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2020A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 0
article
2019Tracking VIX with VIX Futures: Portfolio Construction and Performance In: Papers.
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paper2
2020Tracking VIX with VIX Futures: Portfolio Construction and Performance.(2020) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 2
chapter
2019Optimal Trading of a Basket of Futures Contracts In: Papers.
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paper0
2020Optimal trading of a basket of futures contracts.(2020) In: Annals of Finance.
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This paper has nother version. Agregated cites: 0
article
2019Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework In: Papers.
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paper0
2019Optimal dynamic futures portfolio in a regime-switching market framework.(2019) In: International Journal of Financial Engineering (IJFE).
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This paper has nother version. Agregated cites: 0
article
2021Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model In: Papers.
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paper0
2021Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices In: Papers.
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paper0
2022Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices.(2022) In: International Journal of Financial Engineering (IJFE).
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This paper has nother version. Agregated cites: 0
article
2021Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning In: Papers.
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paper3
2009ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS In: Mathematical Finance.
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article28
2017LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS In: Mathematical Finance.
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article5
2008Credit derivatives and risk aversion In: Advances in Econometrics.
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chapter1
2019Constructing cointegrated cryptocurrency portfolios for statistical arbitrage In: Studies in Economics and Finance.
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article6
2016Foreign currency exposure within country exchange traded funds In: Studies in Economics and Finance.
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article0
2021Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics In: JRFM.
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article0
2023A Diversification Framework for Multiple Pairs Trading Strategies In: Risks.
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article1
2023Multiscale Volatility Analysis for Noisy High-Frequency Prices In: Risks.
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article0
2010Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management In: Post-Print.
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paper0
2019Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics In: Annals of Finance.
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article0
2022Constrained dynamic futures portfolios with stochastic basis In: Annals of Finance.
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article0
2013An Optimal Timing Approach to Option Portfolio Risk Management In: Palgrave Macmillan Books.
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chapter0
2016Impact of risk aversion and belief heterogeneity on trading of defaultable claims In: Annals of Operations Research.
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article2
2015Implied Volatility of Leveraged ETF Options In: Applied Mathematical Finance.
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article6
2013American step-up and step-down default swaps under L?vy models In: Quantitative Finance.
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article7
2018Optimal dynamic pairs trading of futures under a two-factor mean-reverting model In: International Journal of Financial Engineering (IJFE).
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article1
2019How to mine gold without digging In: International Journal of Financial Engineering (IJFE).
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article0
2020On the efficacy of optimized exit rule for mean reversion trading In: International Journal of Financial Engineering (IJFE).
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article0
2019EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2021OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0
2021Employee Stock Options:Exercise Timing, Hedging, and Valuation In: World Scientific Books.
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book0
2016Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications In: World Scientific Books.
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book11
2016Introduction In: World Scientific Book Chapters.
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chapter0
2016Trading Under the Ornstein-Uhlenbeck Model In: World Scientific Book Chapters.
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chapter0
2016Trading Under the Exponential OU Model In: World Scientific Book Chapters.
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chapter0
2016Trading Under the CIR Model In: World Scientific Book Chapters.
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chapter0
2016Futures Trading Under Mean Reversion In: World Scientific Book Chapters.
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chapter5
2016Optimal Liquidation of Options In: World Scientific Book Chapters.
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chapter0
2016Trading Credit Derivatives In: World Scientific Book Chapters.
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chapter0

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