Name: (NY) - Tim Leung - Exchange-Traded Funds and Related Trading Strategies
Start: 2015-06-18T17:45:00-04:00
End: 2015-06-18T20:30:00-04:00
Location: NYU Kimmel Center, Room 914

Seminar Program

5:45pm Registration
6:00pm Seminar
7:30pm Reception

Abstract

We discuss a number of static and dynamic portfolios related to exchange-traded funds (ETFs). We first discuss the price dynamics of futures-based ETFs and leveraged ETFs. This leads us to develop futures-based strategies for the objective of leverage replication, and discuss their applications to VIX and commodity (L)ETFs. We also analyzed several trading strategies involving multiple leveraged ETFs, accounting for their leverage ratios, volatility decays, expense ratios, and tracking errors. The performance and risk characteristics of these portfolios are studied both analytically and empirically.

Biography

Tim Leung is an Assistant Professor at Columbia University's IEOR Department. He's also an affiliated faculty member of the Center for Financial Engineering, and Institute for Data Sciences & Engineering. He received a Ph.D. in Operations Research & Financial Engineering (ORFE) from Princeton University, and B.S. in Operations Research & Industrial Engineering (ORIE) at Cornell University.

Professor Leung's research focuses on the valuation of financial derivatives, and associated risk management and trading strategies. In particular, he has written extensively on exchange-traded funds (ETFs). His research has been funded by the National Science Foundation (NSF), and published in journals, such as Mathematical Finance, Finance & Stochastics, Quantitative Finance, and SIAM Journals.

Disclaimer

This a joint IAQF/Thalesians seminar, and not an instructional program of New York University.

Harvey Stein

Thales of Miletus

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(NY) - Tim Leung - Exchange-Traded Funds and Related Trading Strategies

NYU Kimmel Center, Room 914

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(NY) - Tim Leung - Exchange-Traded Funds and Related Trading Strategies

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