Ting-Kam Leonard Wong

Research

Publications:

• Adapted optimal transport between Gaussian processes in discrete time
  With Madhu Gunasingam.
  Preprint (2024).
  [arXiv]
  
• JKO schemes with general costs
  With Cale Rankin.
  Preprint (2024).
  [arXiv]
  
• Information geometry for the working information theorist
  With Kumar Vijay Mishra and M Ashok Kumar.
  Preprint (2023).
  [arXiv]
  
• Bregman-Wasserstein divergence: geometry and applications
  With Cale Rankin.
  Preprint (2023).
  [arXiv]
  
• Efficient convex PCA with applications to Wasserstein geodesic PCA and ranked data
  With Steven Campbell.
  Preprint (2022).
  [arXiv]
  
• Conformal mirror descent with logarithmic divergences
  With Amanjit Singh Kainth and Frank Rudzicz.
  Information Geometry (2022).
  [Journal]
  
• Tsallis and Rényi deformations linked via a new λ-duality
  With Jun Zhang.
  IEEE Transactions on Information Theory (2022).
  [journal]
• Functional portfolio optimization in stochastic portfolio theory
  With Steven Campbell.
  SIAM Journal on Financial Mathematics (2022).
  [journal] [codes]
• λ-deformation: A canonical framework for statistical manifolds of constant curvature
  With Jun Zhang.
  Entropy (2022).
  [journal]
• Random concave functions
  With Peter Baxendale.
  Annals of Applied Probability (2022).
  [journal]
• λ-deformed probability families with subtractive and divisive normalizations
  With Jun Zhang.
  Handbook of Statistics (2021).
  [book chapter]
• Pseudo-Riemannian geometry encodes information geometry in optimal transport
  With Jiaowen Yang.
  Information Geometry (2021).
  [journal]
• Projections with logarithmic divergences
  With Zhixu Tao.
  Proceedings of the 5th Conference on Geometric Science of Information (2021).
  [proceeding]
• On time-consistent conditional expectation under probability distortion
  With Jin Ma and Jianfeng Zhang.
  Mathematics of Operations Research (2021).
  [journal]
• Multiplicative Schrödinger problem and the Dirichlet transport
  With Soumik Pal.
  Probability Theory and Related Fields (2020).
  [journal]
• Scalable gradients for stochastic differential equations
  With Xuechen Li, Ricky T. Q. Chen and David Duvenaud.
  AISTATS 2020.
  [arXiv] [proceeding]
• Random walks and induced Dirichlet forms on compact spaces of homogeneous type
  With Ka-Sing Lau and Shi-Lei Kong.
  In Analysis, Probability and Mathematical Physics on Fractals, World Scientific (2020).
  [book chapter]
  
• Logarithmic divergence: geometry and interpretation of curvature
  With Jiaowen Yang.
  Proceedings of the 4th Conference on Geometric Science of Information (Best Paper Award) (2019).
  [proceeding]
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio
  With Christa Cuchiero and Walter Schachermayer.
  Mathematical Finance (2019).
  [journal]
• Information geometry in portfolio theory
  In Geometric Structures of Information, Springer (2019).
  [book chapter]
• Logarithmic divergences from optimal transport and Rényi geometry
  Information Geometry (2018).
  [journal]
• Exponentially concave functions and a new information geometry
  With Soumik Pal.
  The Annals of Probability (2018).
  [journal]
• Random walks and induced Dirichlet forms on self-similar sets
  with Ka-Sing Lau and Shi-Lei Kong.
  Advances in Mathematics (2017).
  [journal]
• The geometry of relative arbitrage
  With Soumik Pal.
  Mathematics and Financial Economics (2016).
  [journal]
• Volatility harvesting in theory and practice
  With Paul Bouchey and Vassilii Nemtchinov.
  The Journal of Wealth Management (2015).
  [journal]
• Optimization of relative arbitrage
  Annals of Finance (2015).
  [journal]

Other manuscripts and works

• Universal portfolios in stochastic portfolio theory
  [arXiv]
• Geometry and Optimization of Relative Arbitrage
  PhD Thesis (2016). University of Washington.
  [link]
• R Package. RelValAnalysis - Relative Value Analysis
  Available on [CRAN]
• Energy, entropy, and arbitrage
  With Soumik Pal.
  [arXiv]
• Boundary Theory of Random Walk and Fractal Analysis
  Mphil Thesis (2011). The Chinese University of Hong Kong.
  [link]
• Induced measures of simple random walks on Sierpinski graphs
  [arXiv]