Tim Leung, Ph.D. – Medium

Tim Leung, Ph.D.

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Tim Leung, Ph.D.
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Quantitative Investing

Multiscale Volatility Analysis for Noisy High-Frequency Data

Hurst exponent and time-varying intraday volatility

5 min readJul 13, 2023

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Multiscale Volatility Analysis for Noisy High-Frequency Data

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Tim Leung, Ph.D.
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Quantitative Investing

A Diversification Framework for Multiple Pairs Trading Strategies

Construct a trading program that dynamically allocates to multiple pairs

3 min readJun 27, 2023

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A Diversification Framework for Multiple Pairs Trading Strategies

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Tim Leung, Ph.D.
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Towards Data Science

Multiscale Financial Signal Processing

Empirical mode decomposition and Hilbert spectral analysis

5 min readMay 7, 2021

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Multiscale Financial Signal Processing

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Tim Leung, Ph.D.
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Towards Data Science

Pairs Trading with Optimized Positions & Exit Rules

Any serious pairs trading system must include a procedure for optimizing the positions along with timing for entry and exit.

5 min readAug 2, 2020

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Pairs Trading with Optimized Positions & Exit Rules

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Tim Leung, Ph.D.
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Quantitative Investing

A Python Package for Optimal Mean Reversion Trading

From portfolio construction to optimal execution

3 min readSep 18, 2020

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A Python Package for Optimal Mean Reversion Trading

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Tim Leung, Ph.D.

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation

Free book download

2 min readApr 27, 2024

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Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation

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Tim Leung, Ph.D.
in
Quantitative Investing

Simulating Trades Under a Levy-Driven Mean-Reverting Framework

Monte Carlo simulation for pairs trading with jumps — theory & implementation

2 min readJan 21, 2024

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Simulating Trades Under a Levy-Driven Mean-Reverting Framework

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Tim Leung, Ph.D.

A Model for Drawdown Insurance

Many individual and institutional investors are wary of large market drawdowns as they not only lead to portfolio losses and liquidity…

3 min readAug 28, 2023

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A Model for Drawdown Insurance

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Tim Leung, Ph.D.
in
Quantitative Investing

Optimal Timing to Exercise Options in a Regime-Switching Market

Hedging strategies and exercise timing need to be adapted to different market regimes.

3 min readAug 24, 2023

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Optimal Timing to Exercise Options in a Regime-Switching Market

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Tim Leung, Ph.D.
in
Quantitative Investing

Empirical Returns of Leveraged ETF Options

4 min readApr 18, 2023

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Empirical Returns of Leveraged ETF Options

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Tim Leung, Ph.D.

Tim Leung, Ph.D.

Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington in Seattle

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