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Guo, Kevin; Leung, Tim; Ward, Brian - In: International journal of financial engineering 6 (2019) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10012028869

Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty

Bulthuis, Brian; Concha, Julio; Leung, Tim; Ward, Brian - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011777847

Dynamic index tracking and risk exposure control using derivatives

Leung, Tim; Ward, Brian - In: Applied mathematical finance 25 (2018) 1/2, pp. 180-212

Persistent link: https://www.econbiz.de/10011959128

The golden target: analyzing the tracking performance of leveraged gold ETFs

Leung, Tim; Ward, Brian - In: Studies in Economics and Finance 32 (2015) 3, pp. 278-297

Purpose – The purpose of this study is to understand the tracking errors of leveraged exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by dynamic portfolios of gold futures. Design/methodology/approach – The author formulates and solves a constrained...

Persistent link: https://www.econbiz.de/10015013891

Constructing cointegrated cryptocurrency portfolios for statistical arbitrage

Leung, Tim; Nguyen, Hung - In: Studies in Economics and Finance 36 (2019) 4, pp. 581-599

Purpose: This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach: The authors apply a series of...

Persistent link: https://www.econbiz.de/10012188407

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

Leung, Tim; Zhao, Theodore - In: Applied Stochastic Models in Business and Industry 37 (2021) 6, pp. 993-1016

Persistent link: https://www.econbiz.de/10012534921

Pricing derivatives with counterparty risk and collateralization : a fixed point approach

Kim, Jinbeom; Leung, Tim - In: European journal of operational research : EJOR 249 (2016) 2, pp. 525-539

Persistent link: https://www.econbiz.de/10011436733

An optimal multiple stopping approach to infrastructure investment decisions

Dahlgren, Eric; Leung, Tim - In: Journal of economic dynamics & control 53 (2015), pp. 251-267

Persistent link: https://www.econbiz.de/10011526952

Impact of risk aversion and belief heterogeneity on trading of defaultable claims

Kim, Jinbeom; Leung, Tim - In: Optimization models with economic and game theoretic …, (pp. 117-146). 2016

Persistent link: https://www.econbiz.de/10011533434

Optimal dynamic futures portfolio under a multifactor Gaussian framework

Leung, Tim; Yan, Raphael; Zhou, Yang - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10012662043