Understanding the Tracking Errors of Commodity Leveraged ETFs
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"Dynamic modeling of mean-reverting spreads for statistical arbitrage,"
Computational Management Science, Springer, vol. 8(1), pages 23-49, April.
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- Tim Leung & Xin Li, 2015.
"Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
- Tim Leung & Xin Li, 2014. "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers 1411.5062, arXiv.org, revised May 2015.
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Cited by:
- Jamie Kang & Tim Leung, 2017.
"Asynchronous ADRs: overnight vs intraday returns and trading strategies,"
Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(4), pages 580-596, October.
- Tim Leung & Jamie Kang, 2016. "Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies," Papers 1611.03110, arXiv.org.
- Gregor Dorfleitner & Anna Gerl & Johannes Gerer, 2018. "The pricing efficiency of exchange-traded commodities," Review of Managerial Science, Springer, vol. 12(1), pages 255-284, January.
- Guo, Kevin & Leung, Tim, 2017.
"Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options,"
Journal of Commodity Markets, Elsevier, vol. 6(C), pages 32-49.
- Kevin Guo & Tim Leung, 2016. "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options," Papers 1610.09403, arXiv.org, revised Apr 2017.
- Tim Leung & Brian Ward, 2015.
"The golden target: analyzing the tracking performance of leveraged gold ETFs,"
Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(3), pages 278-297, August.
- Tim Leung & Brian Ward, 2015. "The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs," Papers 1501.02276, arXiv.org, revised Jan 2015.
- Tim Leung & Brian Ward, 2018.
"Dynamic Index Tracking and Risk Exposure Control Using Derivatives,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(2), pages 180-212, March.
- Tim Leung & Brian Ward, 2017. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers 1705.10454, arXiv.org.
- Tim Leung & Brian Ward, 2020.
"Tracking VIX with VIX Futures: Portfolio Construction and Performance,"
World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 21, pages 557-596,
World Scientific Publishing Co. Pte. Ltd..
- Tim Leung & Brian Ward, 2019. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," Papers 1907.00293, arXiv.org.
- Paolo Guasoni & Eberhard Mayerhofer, 2015. "The Limits of Leverage," Papers 1506.02802, arXiv.org, revised Oct 2017.
- Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792, arXiv.org, revised Apr 2015.
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