42 citations · 144 across the 29 of their papers we have counts for
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q-fin.ST2021
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…
q-fin.ST2016
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
Tim Leung, Jamie Kang
American Depositary Receipts (ADRs) are exchange-traded certificates that rep- resent shares of non-U.S. company securities. They are major financial instruments for investing in f…
q-fin.ST2015
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…