Publication
[1] (with J. Jung and B. Ning) Signature Time Series Clustering, working paper
[2] (with J. Jung and B. Han) Denoising Diffusion Levy Model, working paper
[3] (with B. Ning) Advanced Statistical Arbitrage with Reinforcement Learning, submitted to Finance Research Letters
[4] (with C. Yu) Portfolio Optimization Under the Modified Open Market, submitted to Applied Mathematical Finance
[5] (with J. Jung) Attention Based Reading, Highlightening and Forecasting of the Limit Order Book, submitted to Quantitative Finance
[6] (with Q. Feng and T. Leung) Regime-Switching Dynamics of Foreign Exchange Rates, submitted
[7] (with J. Jung and T. Leung) A Lead-Lag Analysis of Intraday and Overnight Returns, submitted to Studies in Economics and Finance
[8] (with P. Chakraborty and B. Ning) Signature Method in Statistical Arbitrage, submitted to International Journal of Theoretical and Applied Finance
[9] (with S. Lim and H. Park) Differentiability of solutions to path-dependent stochastic differential equations and its applications to option pricing theory, submitted to Annals of Applied Probability
[10] (with J. Jung and M. Xu) Modeling multi-state health transitions with Hawkes processes, submitted to Astin Bulletin
[11] (with H. Liu and Y. Shin) An Optimal Portfolio Choice Problem with Delays, forthcoming to Mathematical Control and Related Fields
[12] (with T. Leung and B. Ning) A Diversification Framework for Mean Reversion Trading, vol 11 (5), May 2023, Risks
[13] (with R.Jayasekera and R.Gill) Predicting Next Day’s Minimum Gasoline Prices while Handling Missing Data , submitted to Risks
[14] (with H. Lee) Optimal execution with liquidity risk in a diffusive order book market ,vol 10 (3), 2023, International Journal of Financial Engineering
[15] (with P. Chakraborty) Bond Prices with Insufficient Information, Methodology and Computing in Applied Probability, vol 24 (2), 2022, 613-634
[16] (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
[17] (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, (1), 2021
[18] (with B. Seong) Intervention Analysis Based on Exponential Smoothing Methods, Economics Letters, vol 28, pages 290-301, May 2021
[19] (with S.Park) Hedging with Liquidity risk under CEV diffusion, Risks, vol 8, (2), 2020
[20] (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, (2), Pages 247-275, Feb 2020
[21] (with S.Yi) Numerical Study for European Option Pricing Equations with Non-Levy Jumps, Applicable Analysis, Pages 1-17, July 2019
[22] (with S.Park, K.Lee) A Financial Market of a Stochastic Delay Equation, The Bulletin of Korean Mathematical Society, Vol 26, (5), Pages 1129-1141
[23] (with J. Figueroa-‐Lopez) Estimation of a noisy subordinated Brownian motion via two scale power variations, Journal of Statistical Planning and Inference, vol 189,2017, Pages 16–37
[24] (with S.Park) Informed traders’ hedging with news arrivals, Journal of Statistical Planning and Inference Volume 175, August 2016, Pages 1–10
[25] (with S.Park) Asymptotic Computation of the Greeks under Stochastic,
Communications for Statistical Applications and Methods, 2016, Vol. 23, No. 1, 21–32
[26] (with R.Jayasekera and R.Gill) Modeling Discrete Stock Price Changes using a Mixture
of Poisson Distributions, Journal of Korean Statistical Society Volume 45, Issue 3, September 2016, Pages 409–421
[27] (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 October 2016, Volume 52, Issue 1, pp 87–99
[28] (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, pp. 23-36, 2016
[29] (with S.Park) Insiders' Hedging in a stochastic volatility model, IMA Journal of Management Mathematics (2016)27 (2): 281-295.
[30] (with S.Ha, K.Kim) A Mathematical Model for Multi-‐name Credit Based on Community Flocking, Quantitative Finance, volume 15 (5), 841-‐851, 2015
[31] (with W.Kang) Information on Jump Sizes and Hedging, Stochastics, volume 86, (6),
889-‐905, 2014
[32] (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, 56 (2012) 4421-‐4432
[33] (with H.Ku and H.Zhu) Discrete Time Hedging with Liquidity Risk, Financial Research Letters, 2012, vol. 9, issue 3, pages 135-‐143
[34] (with R.Christie-‐David, A. Chatrath and B.Adrangi) Dominant markets, staggered openings, and price discovery, Journal of Futures Markets, Volume 31, Issue 10, pages 915–946, October 2011
[35] Market Microstructure, New Trends in Financial Engineering, IOS Press, ISBN 978-‐1-‐
60750-‐834-‐2, pages 89-‐106, 2011
[36] (with J.Figueroa-‐Lopez, S.Lancette and Y.Mi) Estimation of NIG and VG models for high frequency financial data, Handbook of Modeling High-‐Frequency Data in Finance, J. Wiley, 2011. ISBN: 978-‐0-‐470-‐87688-‐6
[37] (with Y.Zeng) Risk minimization for a filtering micromovement model of asset price, forthcoming, Applied Mathematical Finance, vol 17 (2), 177-‐199, 2010
[38] (with R.Christie-‐David, A. Chatrath and W.Moore) Competitive Inventory Management in Treasury Markets, Journal of Banking and Finance, vol. 33, issue 5, pages 800-‐809, 2009
[39] (with S.Ha and D.Levy) Flocking in a Stochastic Cucker-‐Smale System, Communication on Mathematical Sciences, vol 7 (2), 453-‐469, 2009
[40] Risk minimization under budget constraints, Journal of Risk Finance, vol 9, (1) 71-‐80,2008
[41] (with J.Lim and H.Song) Estimation of Liquidity Cost in Financial Markets, Communication of the Korean Statistical Society, 15, 117-‐124, 2008
[42] (with P.Protter) Hedging Claims with Feedback Jumps in the Price Process, Communication on Stochastic Analysis, vol 2, (1), 2008
[43] (with R.Chrisite-‐David and A. Chatrath) How potent are news reversals?: Evident from Futures Markets, Journal of Futures Markets, vol 29, (1), 42-‐73, 2009
[44] (with M.Xu) Parameter Estimation from Multinomial Trees to jump diffusions with K Means Clustering, Cutting Edge, Risk, vol 21, 82-‐86, 2008
[45] (with S.Song) A note on convergence of an approximate hedging portfolio with liquidity risk , Stochastics, vol 79 (5), 419-‐429, 2007.
[46] (with S.Song and R.Gill) Computation of estimates in segmented regression and a liquidity effect model, Computational Statistics and Data Analysis, vol 51 (5) 6459-‐6475, 2007
[47] (with S.Song) Insider’s Hedging in a Jump Diffusion Model, Quantitative Finance, vol 7 (5) 537-‐545, 2007
[48] (with L.Goldberg and A.Kercheval) t-‐statistics for weighted means in credit risk modelling, Journal of Risk Finance 6 (4), 349-‐365, 2005
