9
H index
7
i10 index
267
Citations
Tim S.T. Leung : Citation Profile
| RESEARCH PRODUCTION: 44 Articles 46 Papers 2 Books 10 Chapters RESEARCH ACTIVITY:
EXPERT IN:
MORE DETAILS IN: ABOUT THIS REPORT:
|
16 years (2008 - 2024). 
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:
| Cites to:
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Main data
Where Tim S.T. Leung has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 45 |
Recent works citing Tim S.T. Leung (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Optimal 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 |
| 2023 | L\evy bandits under Poissonian decision times. (2023). Yamazaki, Kazutoshi ; Jos'e-Luis P'erez, . In: Papers. RePEc:arx:papers:2301.07798. Full description at Econpapers || Download paper |
| 2023 | Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2023). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956. Full description at Econpapers || Download paper |
| 2023 | Towards Generalizable Reinforcement Learning for Trade Execution. (2023). Zhao, LI ; Li, Jian ; Chen, Jianyu ; Duan, Yitong ; Zhang, Chuheng. In: Papers. RePEc:arx:papers:2307.11685. Full description at Econpapers || Download paper |
| 2024 | Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008. Full description at Econpapers || Download paper |
| 2024 | Advanced Statistical Arbitrage with Reinforcement Learning. (2024). Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2403.12180. Full description at Econpapers || Download paper |
| 2024 | A Multi-Period Black-Litterman Model. (2024). Lim, Andrew ; Abdelhakmi, Anas. In: Papers. RePEc:arx:papers:2404.18822. Full description at Econpapers || Download paper |
| 2023 | Pricing 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2024 | Optimal stopping of an Ornstein–Uhlenbeck bridge. (2024). Garcia-Portugues, E ; Dauria, B ; Azze, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:172:y:2024:i:c:s0304414924000486. Full description at Econpapers || Download paper |
| 2024 | Does parking matter? The impact of parking time on last-mile delivery optimization. (2024). Thomas, Barrett W ; Campbell, Ann Melissa ; Reed, Sara. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:181:y:2024:i:c:s1366554523003794. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2023 | OPTIMISING EXPENDITURE IN HOSPITAL UNITS. (2023). Macovei, Anamaria-Geanina ; Grosu, Veronica ; Siretean, Sorinel Todera ; Brnzaru, Simona Maria. In: European Journal of Accounting, Finance & Business. RePEc:scm:ejafbu:v:11:y:2023:i:1:p:139-146. Full description at Econpapers || Download paper |
| 2023 | Speculative 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. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
Works by Tim S.T. Leung:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Optimal Timing to Purchase Options In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2012 | American Step-Up and Step-Down Default Swaps under Levy Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Default Swap Games Driven by Spectrally Negative Levy Processes In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Default swap games driven by spectrally negative Lévy processes.(2013) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2013 | Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.(2013) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2012 | Risk Premia and Optimal Liquidation of Credit Derivatives In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2013 | Stochastic Modeling and Fair Valuation of Drawdown Insurance In: Papers. [Full Text][Citation analysis] | paper | 20 |
| 2013 | Stochastic modeling and fair valuation of drawdown insurance.(2013) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2015 | Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit In: Papers. [Full Text][Citation analysis] | paper | 39 |
| 2015 | OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | article | |
| 2014 | Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Accounting for Earnings Announcements in the Pricing of Equity Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Accounting for earnings announcements in the pricing of equity options.(2014) In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | The golden target: analyzing the tracking performance of leveraged gold ETFs.(2015) In: Studies in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2015 | Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2016 | Pricing derivatives with counterparty risk and collateralization: A fixed point approach.(2016) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2015 | Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Optimal derivative liquidation timing under path-dependent risk penalties.(2015) In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2015 | An optimal multiple stopping approach to infrastructure investment decisions.(2015) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2015 | Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2015 | ESO Valuation with Job Termination Risk and Jumps in Stock Price In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2015 | AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2015 | Optimal Static Quadratic Hedging In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2016 | Optimal static quadratic hedging.(2016) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2016 | Speculative Futures Trading under Mean Reversion In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Speculative Futures Trading under Mean Reversion.(2016) In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2017 | Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty.(2017) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2016 | Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options.(2017) In: Journal of Commodity Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Understanding the Tracking Errors of Commodity Leveraged ETFs In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Asynchronous ADRs: overnight vs intraday returns and trading strategies.(2017) In: Studies in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2017 | Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Optimal mean-reverting spread trading: nonlinear integral equation approach.(2017) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Optimal Trading with a Trailing Stop In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Dynamic Index Tracking and Risk Exposure Control Using Derivatives In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Dynamic Index Tracking and Risk Exposure Control Using Derivatives.(2018) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Mean Reversion Trading with Sequential Deadlines and Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Optimal Timing to Trade Along a Randomized Brownian Bridge In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | Optimal Timing to Trade along a Randomized Brownian Bridge.(2018) In: IJFS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2018 | Mean Reverting Portfolios via Penalized OU-Likelihood Estimation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal Dynamic Basis Trading In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Optimal dynamic basis trading.(2019) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2018 | A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | A Stochastic Control Approach to Managed Futures Portfolios In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | A stochastic control approach to managed futures portfolios.(2019) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2019 | A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2019 | Tracking VIX with VIX Futures: Portfolio Construction and Performance In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Tracking VIX with VIX Futures: Portfolio Construction and Performance.(2020) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2019 | Optimal Trading of a Basket of Futures Contracts In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Optimal trading of a basket of futures contracts.(2020) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2019 | Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal dynamic futures portfolio in a regime-switching market framework.(2019) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices.(2022) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2024 | Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Optimal positioning in derivative securities in incomplete markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 29 |
| 2017 | LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS In: Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
| 2008 | Credit derivatives and risk aversion In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 1 |
| 2019 | Constructing cointegrated cryptocurrency portfolios for statistical arbitrage In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 8 |
| 2016 | Foreign currency exposure within country exchange traded funds In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2023 | A Diversification Framework for Multiple Pairs Trading Strategies In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2023 | Multiscale Volatility Analysis for Noisy High-Frequency Prices In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2010 | Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management In: Post-Print. [Citation analysis] | paper | 0 |
| 2019 | Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | Constrained dynamic futures portfolios with stochastic basis In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | An Optimal Timing Approach to Option Portfolio Risk Management In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2016 | Impact of risk aversion and belief heterogeneity on trading of defaultable claims In: Annals of Operations Research. [Full Text][Citation analysis] | article | 2 |
| 2015 | Implied Volatility of Leveraged ETF Options In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
| 2013 | American step-up and step-down default swaps under L�vy models In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 2018 | Optimal dynamic pairs trading of futures under a two-factor mean-reverting model In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 1 |
| 2019 | How to mine gold without digging In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 0 |
| 2020 | On the efficacy of optimized exit rule for mean reversion trading In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 0 |
| 2019 | EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2021 | OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2021 | Employee Stock Options:Exercise Timing, Hedging, and Valuation In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
| 2016 | Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications In: World Scientific Books. [Full Text][Citation analysis] | book | 12 |
| 2016 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Under the Ornstein-Uhlenbeck Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Under the Exponential OU Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Under the CIR Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Futures Trading Under Mean Reversion In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 6 |
| 2016 | Optimal Liquidation of Options In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Credit Derivatives In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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