42 citations · 144 across the 29 of their papers we have counts for
Showing 2021Show all
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q-fin.CP2021★ 1 cited
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…
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.MF2021
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,…