Publication

1.    (with J. Kang and B. Han) Signature Inversion for Rough Time Series Under Known Distribution Families. NeurIPS 2026.

2.    (with B. Ning) Advanced Statistical Arbitrage with Reinforcement Learning. International Journal of Financial Engineering, Vol. 12, No. 4 (2025).

3.    (with J. Jung) Attention Based Reading, Highlightening and Forecasting of the Limit Order Book. Quantitative Finance, Vol. 25, No. 7 (2025), pp. 1015–1027.

4.    (with Q. Feng and T. Leung) Regime-Switching Dynamics of Foreign Exchange Rates. Studies in Economics and Finance, Vol. 42, No. 4 (2025), pp. 631–645.

5.    (with J. Jung and T. Leung) A Lead-Lag Analysis of Intraday and Overnight Returns. Investment Analysts Journal, Vol. 55, No. 2 (2026), pp. 109–129.

6.    (with J. Jung and M. Xu) Modeling Multi-State Health Transitions with Hawkes Processes. North American Actuarial Journal, Vol. 30 (2026), pp. 157–178.

7.    (with H. Liu and Y. Shin) An Optimal Portfolio Choice Problem with Delays. Mathematical Control and Related Fields, Vol. 15, No. 1 (2025), pp. 115–142.

8.    (with T. Leung and B. Ning) A Diversification Framework for Mean Reversion Trading. Risks, Vol. 11, No. 5 (2023).

9.    (with R. Jayasekera and R. Gill) Predicting Next Day’s Minimum Gasoline Prices While Handling Missing Data. Asia-Pacific Financial Markets (forthcoming).

10.  (with H. Lee) Optimal Execution with Liquidity Risk in a Diffusive Order Book Market. International Journal of Financial Engineering, Vol. 10, No. 3 (2023).

11.  (with P. Chakraborty) Bond Prices with Insufficient Information. Methodology and Computing in Applied Probability, Vol. 24, No. 2 (2022), pp. 613–634.

12.  (with J. Sung, H. Ahn and S. Choi) Age and Education Effects on a Novel Syntactic Assessment Battery for Elderly Adults. Frontiers in Psychology (Jun. 2021).

13.  (with S. Chakravarty and Y. Xie) Multivariate Hawkes Process Model of Market Participants Behavior in the High Frequency World. International Journal of Financial Engineering, Vol. 8, No. 1 (2021).

14.  (with B. Seong) Intervention Analysis Based on Exponential Smoothing Methods. Economics Letters, Vol. 28 (2021), pp. 290–301.

15.  (with S. Park) Hedging with Liquidity Risk under CEV Diffusion. Risks, Vol. 8, No. 2 (2020).

16.  (with H. Jang and K. Lee) Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. Journal of Futures Markets, Vol. 40, No. 2 (2020), pp. 247–275.

17.  (with S. Yi) Numerical Study for European Option Pricing Equations with Non-Lévy Jumps. Applicable Analysis (Jul. 2019), pp. 1–17.

18.  (with S. Park and K. Lee) A Financial Market of a Stochastic Delay Equation. The Bulletin of the Korean Mathematical Society, Vol. 26, No. 5, pp. 1129–1141.

19.  (with J. Figueroa-López) Estimation of a Noisy Subordinated Brownian Motion via Two Scale Power Variations. Journal of Statistical Planning and Inference, Vol. 189 (2017), pp. 16–37.

20.  (with S. Park) Informed Traders’ Hedging with News Arrivals. Journal of Statistical Planning and Inference, Vol. 175 (Aug. 2016), pp. 1–10.

21.  (with S. Park) Asymptotic Computation of the Greeks under Stochastic Volatility. Communications for Statistical Applications and Methods, Vol. 23, No. 1 (2016), pp. 21–32.

22.  (with R. Jayasekera and R. Gill) Modeling Discrete Stock Price Changes Using a Mixture of Poisson Distributions. Journal of the Korean Statistical Society, Vol. 45, No. 3 (Sep. 2016), pp. 409–421.

23.  (with M. Kim and T. Ha) Comparison of Numerical Methods on Hedging Claims with Feedback Jumps in the Pricing. Journal of Applied Mathematics and Computing, Vol. 52, No. 1 (Oct. 2016), pp. 87–99.

24.  (with J. Park and J. Hyun) The Effect of Limit Order Flows at the Best Quotes on Price Changes. Risk and Decision Analysis, Vol. 6, No. 1 (2016), pp. 23–36.

25.  (with S. Park) Insiders’ Hedging in a Stochastic Volatility Model. IMA Journal of Management Mathematics, Vol. 27, No. 2 (2016), pp. 281–295.

26.  (with S. Ha and K. Kim) A Mathematical Model for Multi-Name Credit Based on Community Flocking. Quantitative Finance, Vol. 15, No. 5 (2015), pp. 841–851.

27.  (with W. Kang) Information on Jump Sizes and Hedging. Stochastics, Vol. 86, No. 6 (2014), pp. 889–905.

28.  (with J. Lim, D. Yu, H. Liu and M. Sherman) Parameter Estimation in the Spatial Auto-Logistic Model with Varying Independent Subblocks. Computational Statistics and Data Analysis, Vol. 56 (2012), pp. 4421–4432.

29.  (with H. Ku and H. Zhu) Discrete Time Hedging with Liquidity Risk. Financial Research Letters, Vol. 9, No. 3 (2012), pp. 135–143.

30.  (with R. Christie-David, A. Chatrath and B. Adrangi) Dominant Markets, Staggered Openings, and Price Discovery. Journal of Futures Markets, Vol. 31, No. 10 (Oct. 2011), pp. 915–946.

31.  Market Microstructure. In New Trends in Financial Engineering, IOS Press (2011), pp. 89–106. ISBN 978-1-60750-834-2.

32.  (with J. Figueroa-López, S. Lancette and Y. Mi) Estimation of NIG and VG Models for High Frequency Financial Data. In Handbook of Modeling High-Frequency Data in Finance, J. Wiley (2011). ISBN 978-0-470-87688-6.

33.  (with Y. Zeng) Risk Minimization for a Filtering Micromovement Model of Asset Price. Applied Mathematical Finance, Vol. 17, No. 2 (2010), pp. 177–199.

34.  (with R. Christie-David, A. Chatrath and W. Moore) Competitive Inventory Management in Treasury Markets. Journal of Banking and Finance, Vol. 33, No. 5 (2009), pp. 800–809.

35.  (with R. Christie-David and A. Chatrath) How Potent Are News Reversals? Evidence from Futures Markets. Journal of Futures Markets, Vol. 29, No. 1 (2009), pp. 42–73.

36.  (with S. Ha and D. Levy) Flocking in a Stochastic Cucker-Smale System. Communications in Mathematical Sciences, Vol. 7, No. 2 (2009), pp. 453–469.

37.  Risk Minimization under Budget Constraints. Journal of Risk Finance, Vol. 9, No. 1 (2008), pp. 71–80.

38.  (with J. Lim and H. Song) Estimation of Liquidity Cost in Financial Markets. Communications of the Korean Statistical Society, Vol. 15 (2008), pp. 117–124.

39.  (with P. Protter) Hedging Claims with Feedback Jumps in the Price Process. Communications on Stochastic Analysis, Vol. 2, No. 1 (2008).

40.  (with M. Xu) Parameter Estimation from Multinomial Trees to Jump Diffusions with K-Means Clustering. Cutting Edge, Risk, Vol. 21 (2008), pp. 82–86.

41.  (with S. Song) A Note on Convergence of an Approximate Hedging Portfolio with Liquidity Risk. Stochastics, Vol. 79, No. 5 (2007), pp. 419–429.

42.  (with S. Song and R. Gill) Computation of Estimates in Segmented Regression and a Liquidity Effect Model. Computational Statistics and Data Analysis, Vol. 51, No. 5 (2007), pp. 6459–6475.

43.  (with S. Song) Insider’s Hedging in a Jump Diffusion Model. Quantitative Finance, Vol. 7, No. 5 (2007), pp. 537–545.

44.  (with L. Goldberg and A. Kercheval) t-Statistics for Weighted Means in Credit Risk Modelling. Journal of Risk Finance, Vol. 6, No. 4 (2005), pp. 349–365.