PinnedTim Leung, Ph.D.inQuantitative InvestingMultiscale Volatility Analysis for Noisy High-Frequency DataHurst exponent and time-varying intraday volatilityJul 13, 20231Jul 13, 20231
PinnedTim Leung, Ph.D.inQuantitative InvestingA Diversification Framework for Multiple Pairs Trading StrategiesConstruct a trading program that dynamically allocates to multiple pairsJun 27, 2023Jun 27, 2023
PinnedTim Leung, Ph.D.inTowards Data ScienceMultiscale Financial Signal ProcessingEmpirical mode decomposition and Hilbert spectral analysisMay 7, 20213May 7, 20213
PinnedTim Leung, Ph.D.inTowards Data SciencePairs Trading with Optimized Positions & Exit RulesAny serious pairs trading system must include a procedure for optimizing the positions along with timing for entry and exit.Aug 2, 20202Aug 2, 20202
PinnedTim Leung, Ph.D.inQuantitative InvestingA Python Package for Optimal Mean Reversion TradingFrom portfolio construction to optimal executionSep 18, 20201Sep 18, 20201
Tim Leung, Ph.D.Leveraged Exchange-Traded Funds: Price Dynamics and Options ValuationFree book downloadApr 271Apr 271
Tim Leung, Ph.D.inQuantitative InvestingSimulating Trades Under a Levy-Driven Mean-Reverting FrameworkMonte Carlo simulation for pairs trading with jumps — theory & implementationJan 21Jan 21
Tim Leung, Ph.D.A Model for Drawdown InsuranceMany individual and institutional investors are wary of large market drawdowns as they not only lead to portfolio losses and liquidity…Aug 28, 2023Aug 28, 2023
Tim Leung, Ph.D.inQuantitative InvestingOptimal Timing to Exercise Options in a Regime-Switching MarketHedging strategies and exercise timing need to be adapted to different market regimes.Aug 24, 2023Aug 24, 2023
Tim Leung, Ph.D.inQuantitative InvestingEmpirical Returns of Leveraged ETF OptionsApr 18, 2023Apr 18, 2023
