PinnedTim Leung, Ph.D.inQuantitative InvestingMultiscale Volatility Analysis for Noisy High-Frequency DataHurst exponent and time-varying intraday volatility·5 min read·Jul 13, 2023----
PinnedTim Leung, Ph.D.inQuantitative InvestingA Diversification Framework for Multiple Pairs Trading StrategiesConstruct a trading program that dynamically allocates to multiple pairs·3 min read·Jun 27, 2023----
PinnedTim Leung, Ph.D.inTowards Data ScienceMultiscale Financial Signal ProcessingEmpirical mode decomposition and Hilbert spectral analysis·5 min read·May 7, 2021----
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.·5 min read·Aug 2, 2020--2--2
PinnedTim Leung, Ph.D.inQuantitative InvestingA Python Package for Optimal Mean Reversion TradingFrom portfolio construction to optimal execution·3 min read·Sep 18, 2020--1--1
Tim Leung, Ph.D.Leveraged Exchange-Traded Funds: Price Dynamics and Options ValuationFree book download·2 min read·Apr 27, 2024--1--1
Tim Leung, Ph.D.inQuantitative InvestingSimulating Trades Under a Levy-Driven Mean-Reverting FrameworkMonte Carlo simulation for pairs trading with jumps — theory & implementation·2 min read·Jan 21, 2024----
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…·3 min read·Aug 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.·3 min read·Aug 24, 2023----
Tim Leung, Ph.D.inQuantitative InvestingEmpirical Returns of Leveraged ETF Options·4 min read·Apr 18, 2023----