Search Results - "Leung, Tim"

Threshold overnight comovement analysis of intraday and overnight returns.

Authors: Jung, Jiwon Lee, Kiseop Leung, Tim

Source: Investment Analysts Journal. Jun2026, Vol. 55 Issue 2, p109-129. 21p.

Optimal positioning in derivative securities in incomplete markets.

Authors: Leung, Tim Lorig, Matthew Shirai, Yoshihiro

Source: Frontiers of Mathematical Finance; Dec2024, Vol. 3 Issue 4, p1-24, 24p

A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices.

Authors: Leung, Tim Zhao, Theodore

Source: Mathematics (2227-7390). Mar2024, Vol. 12 Issue 6, p864. 21p.

Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework.

Authors: Leung, Tim Lu, Kevin W.

Source: Applied Mathematical Finance. Sep2023, Vol. 30 Issue 4, p207-230. 24p.

The use of ketamine as a neuroprotective agent following cardiac arrest: A scoping review of current literature.

Authors: Ornowska, Marlena Wormsbecker, Andrew Andolfatto, Gary et al.

Source: CNS Neuroscience & Therapeutics. Jan2023, Vol. 29 Issue 1, p104-110. 7p.

Multiscale Volatility Analysis for Noisy High-Frequency Prices.

Authors: Leung, Tim Zhao, Theodore

Source: Risks. Jul2023, Vol. 11 Issue 7, p117. 20p.

A Diversification Framework for Multiple Pairs Trading Strategies.

Authors: Lee, Kiseop Leung, Tim Ning, Boming

Source: Risks. May2023, Vol. 11 Issue 5, p93. 18p.

Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices.

Authors: Leung, Tim Zhao, Theodore

Source: International Journal of Financial Engineering. Mar2022, Vol. 9 Issue 1, p1-23. 23p.

Financial time series analysis and forecasting with Hilbert–Huang transform feature generation and machine learning.

Authors: Leung, Tim Zhao, Theodore

Source: Applied Stochastic Models in Business & Industry. Nov2021, Vol. 37 Issue 6, p993-1016. 24p.

OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK.

Authors: LEUNG, TIM YAN, RAPHAEL ZHOU, YANG

Source: International Journal of Theoretical & Applied Finance. Aug2021, Vol. 24 Issue 05, p1-27. 27p.

Optimal Trading with a Trailing Stop.

Authors: Leung, Tim Zhang, Hongzhong

Source: Applied Mathematics & Optimization. Apr2021, Vol. 83 Issue 2, p669-698. 30p.

On the efficacy of optimized exit rule for mean reversion trading.

Authors: Lee, Donovan Leung, Tim

Source: International Journal of Financial Engineering. Sep2020, Vol. 7 Issue 3, pN.PAG-N.PAG. 20p.

Exponential hedging with optimal stopping and application to employee stock option valuation.

Authors: Leung, Tim Sircar, Ronnie

Source: SIAM Journal on Control & Optimization; 2009, Vol. 48 Issue 3, p1422-1451, 30p

A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS.

Authors: LEUNG, TIM ZHOU, YANG

Source: International Journal of Theoretical & Applied Finance. Mar2020, Vol. 23 Issue 02, pN.PAG-N.PAG. 29p. 2 Charts, 9 Graphs.

Optimal dynamic futures portfolio in a regime-switching market framework.

Authors: Leung, Tim Zhou, Yang

Source: International Journal of Financial Engineering. Dec2019, Vol. 6 Issue 4, pN.PAG-N.PAG. 27p.

Constrained dynamic futures portfolios with stochastic basis.

Authors: Chen, Xiaodong Leung, Tim Zhou, Yang

Source: Annals of Finance. Mar2022, Vol. 18 Issue 1, p1-33. 33p.

How to mine gold without digging.

Authors: Guo, Kevin Leung, Tim Ward, Brian

Source: International Journal of Financial Engineering. Mar2019, Vol. 6 Issue 1, pN.PAG-N.PAG. 30p.

A stochastic control approach to managed futures portfolios.

Authors: Leung, Tim Yan, Raphael

Source: International Journal of Financial Engineering. Mar2019, Vol. 6 Issue 1, pN.PAG-N.PAG. 22p.

Optimal dynamic pairs trading of futures under a two-factor mean-reverting model.

Authors: Leung, Tim Yan, Raphael

Source: International Journal of Financial Engineering. Sep2018, Vol. 5 Issue 3, pN.PAG-N.PAG. 23p.

Dynamic Index Tracking and Risk Exposure Control Using Derivatives.

Authors: Leung, Tim Ward, Brian

Source: Applied Mathematical Finance. Apr2018, Vol. 25 Issue 2, p180-212. 33p.