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A stochastic control approach to managed futures portfolios
Leung, Tim; Yan, Raphael - In: International journal of financial engineering 6 (2019) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012028856
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How to mine gold without digging
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
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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
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Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
Leung, Tim; Yan, Raphael - In: International journal of financial engineering 5 (2018) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10011923058
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Optimal dynamic futures portfolio in a regime-switching market framework
Leung, Tim; Zhou, Yang - In: International journal of financial engineering 6 (2019) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10012314525
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On the efficacy of optimized exit rule for mean reversion trading
Lee, Donovan; Leung, Tim - In: International journal of financial engineering 7 (2020) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10012603008
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Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices
Leung, Tim; Zhao, Theodore - In: International journal of financial engineering 9 (2022) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10013188765