Tim Leung
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About
Tim Leung is a Professor at the University of Washington, specializing in financial time series analysis and trading strategies. His recent research includes topics such as multiscale correlation analysis and volatility analysis of high-frequency prices. He has published articles on robust growth rates for leveraged ETFs, Monte Carlo simulations in trading strategies, and the application of machine learning in financial forecasting.
Recent Grants
Grant: Close
8th Western Conference on Mathematical Finance
Open Date: 2017-03-01
Close Date: 2017-08-31
Grant: Close
Stochastic Modeling of Risk Aversion and its Implications for Derivative Pricing and Risk Management
Open Date: 2011-07-01
Close Date: 2012-08-31
Grant: Close
Stochastic Modeling of Risk Aversion and its Implications for Derivative Pricing and Risk Management
Open Date: 2011-07-01
Close Date: 2012-08-31
Grant: Close
Stochastic Modeling of Risk Aversion and its Implications for Derivative Pricing and Risk Management
Open Date: 2009-09-15
Close Date: 2012-02-29
Grant: Close
Stochastic Modeling of Risk Aversion and its Implications for Derivative Pricing and Risk Management
Open Date: 2009-09-15
Close Date: 2012-02-29
Articles (13)
A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices
We analyze the multiscale behaviors of high-frequency intraday prices, with a focus on how asset prices are correlated over different timescales. The multiscale approach proposed in this paper is designed for the analysis of high-frequency intraday prices. It incorporates microstructure noise into the stochastic price process. We consider a noisy fractional Brownian motion model and illustrate its various statistical properties. This leads us to introduce new latent correlation and noise estimators. New numerical algorithms are developed for model estimation using empirical high-frequency data. For a collection of stocks and exchange-traded funds, examples are provided to illustrate the relationship between multiscale correlation and sampling frequency as well as the evolution of multiscale correlation over time.
Year:
2024
Collaborators (4)
Boming Ning
Purdue University
Theodore Zhao
University of Washington
Bahman Angoshtari
Assistant Professor
University of Miami
Kevin Lu
Australian National University
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