19 citations · 19 across the 1 of their papers we have counts for
4 papers
LEAF: Navigating Concept Drift in Cellular Networks
Shinan Liu, Francesco Bronzino, Paul Schmitt +5
Operational networks commonly rely on machine learning models for many tasks, including detecting anomalies, inferring application performance, and forecasting demand. Yet, model a…
Tracking VIX with VIX Futures: Portfolio Construction and Performance
Tim Leung, Brian Ward
We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate…
Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Tim Leung, Brian Ward
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pat…
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
Tim Leung, Brian Ward
This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that…