42 citations · 144 across the 29 of their papers we have counts for
41 papers
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning
Tim Leung, Theodore Zhao
We present the method of complementary ensemble empirical mode decomposition (CEEMD) and Hilbert-Huang transform (HHT) for analyzing nonstationary financial time series. This noise…
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
Tim Leung, Theodore Zhao
We study the price dynamics of cryptocurrencies using adaptive complementary ensemble empirical mode decomposition (ACE-EMD) and Hilbert spectral analysis. This is a multiscale noi…
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
Tim Leung, Yang Zhou
We study the problem of dynamically trading multiple futures whose underlying asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model. Under this model,…
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
Tim Leung, Yang Zhou
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility…
Optimal Trading of a Basket of Futures Contracts
Bahman Angoshtari, Tim Leung
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, w…
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…