Quantitative Investing

Quantitative Investing

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Tim Leung, Ph.D.

Simulating Trades Under a Levy-Driven Mean-Reverting Framework

Monte Carlo simulation for pairs trading with jumps — theory & implementation

2 min readJan 21, 2024

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Simulating Trades Under a Levy-Driven Mean-Reverting Framework

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Pinned

Tim Leung, Ph.D.

Stochastic Model for Dynamic Futures Basis Trading

Futures are standardized bilateral contracts of agreement to buy or sell an asset at a pre-determined price at a pre-specified time in the…

5 min readJun 27, 2022

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Stochastic Model for Dynamic Futures Basis Trading

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Tim Leung, Ph.D.

A Diversification Framework for Multiple Pairs Trading Strategies

Construct a trading program that dynamically allocates to multiple pairs

3 min readJun 27, 2023

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A Diversification Framework for Multiple Pairs Trading Strategies

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Pinned

Tim Leung, Ph.D.

Encoding Market View via a Randomized Brownian Bridge

Stochastic model, simulation, and trading strategy

4 min readNov 4, 2021

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Encoding Market View via a Randomized Brownian Bridge

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Pinned

Tim Leung, Ph.D.

Dynamic Futures Portfolio in a Regime-Switching Market

Regime-Switching Market

3 min readAug 23, 2021

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Dynamic Futures Portfolio in a Regime-Switching Market

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Tim Leung, Ph.D.

Optimal Timing to Exercise Options in a Regime-Switching Market

Hedging strategies and exercise timing need to be adapted to different market regimes.

3 min readAug 24, 2023

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Optimal Timing to Exercise Options in a Regime-Switching Market

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Tim Leung, Ph.D.

Multiscale Volatility Analysis for Noisy High-Frequency Data

Hurst exponent and time-varying intraday volatility

5 min readJul 13, 2023

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Multiscale Volatility Analysis for Noisy High-Frequency Data

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Tim Leung, Ph.D.

Empirical Returns of Leveraged ETF Options

4 min readApr 18, 2023

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Empirical Returns of Leveraged ETF Options

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Tim Leung, Ph.D.

Dissecting Leveraged ETFs Returns

Empirical Analysis & Free Book

3 min readApr 16, 2023

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Dissecting Leveraged ETFs Returns

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Tim Leung, Ph.D.

Commodity Futures Spread Trading

One of the most common strategies in commodity trading is inter-commodity futures spread trading. Generally speaking, it is a class of…

4 min readFeb 25, 2023

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Commodity Futures Spread Trading

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Latest articles on Quantitative Investing, covering wide-ranging topics, from portfolio construction and strategic rebalancing to risk premia strategies and statistical arbitrage, with emphasis on combining quantitative methods with financial insights.
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Editors
Quantegrate
Quantitative Research: Innovation + Integration. Data analytics, ML/AI prototypes, and model validation for financial applications & beyond.
Tim Leung, Ph.D.
Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington in Seattle

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