Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process

Journal of Forecasting

Article ↗ · arXiv ↗

Price predictability in limit order book with deep learning model

Applied Economics Letters

Article ↗ · arXiv ↗

Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics

Methodology and Computing in Applied Probability

Article ↗ · arXiv ↗

Application of Hawkes volatility in the observation of filtered high‐frequency price process in tick structures

Applied Stochastic Models in Business and Industry

Article ↗ · arXiv ↗

Multi-kernel property in high-frequency price dynamics under Hawkes model

Studies in Nonlinear Dynamics & Econometrics

Article ↗ · arXiv ↗

Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

with Byoung Ki Seo

Journal of Financial Econometrics

Article ↗ · arXiv ↗

Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data

Finance Research Letters

Article ↗ · arXiv ↗

Optimal market-making strategies under synchronised order arrivals with deep neural networks

with So Eun Choi, Hyun Jin Jang, and Harry Zheng

Journal of Economic Dynamics and Control

Article ↗

Analytic formula for option margin with liquidity costs under dynamic delta hedging

with Byoung Ki Seo

Applied Economics

Article ↗ · arXiv ↗

Computational method for probability distribution on recursive relationships in financial applications

with Jong Jun Park

Probability in the Engineering and Informational Sciences

Article ↗ · arXiv ↗

Systemic risk in market microstructure of crude oil and gasoline futures prices: a Hawkes flocking model approach

with Hyun Jin Jang and Kiseop Lee

Journal of Futures Markets

Article ↗ · arXiv ↗

Tree based ensemble model for developing and evaluating automated valuation models: the case of Seoul residential apartment

with Inho Kim

Journal of the Korean Data & Information Science Society

Article ↗

Filtered historical simulation for initial margin of interest rate swap under Korean market

with Byoung Ki Seo

Emerging Markets Finance and Trade

Article ↗

Marked Hawkes process modeling of price dynamics and volatility estimation

with Byoung Ki Seo

Journal of Empirical Finance

Article ↗ · arXiv ↗

Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data

with Byoung Ki Seo

Journal of Economic Dynamics and Control

Article ↗ · arXiv ↗

Performance of tail hedged portfolio with third moment variation swap

with Byoung Ki Seo

Computational Economics

Article ↗ · arXiv ↗

Risk-neutral option pricing under GARCH intensity model

International Journal of Pure and Applied Mathematics

Article ↗ · arXiv ↗

Distribution of discrete time delta-hedging error via a recursive relation

with Minseok Park and Geon Ho Choe

East Asian Journal on Applied Mathematics

Article ↗

Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data

Studies in Nonlinear Dynamics and Econometrics

Article ↗ · arXiv ↗

Conditional correlation in asset return and GARCH intensity model

with Geon Ho Choe

AStA Advances in Statistical Analysis

Article ↗ · arXiv ↗

High moment variations and their application

with Geon Ho Choe

Journal of Futures Markets

Article ↗ · arXiv ↗

Recursive formula for arithmetic Asian option prices

Journal of Futures Markets

Article ↗ · arXiv ↗

Asymmetric long-memory GARCH: sign-dependent kernel injection in a two-dimensional Markov chain

with Kennedy Titus Kayaki

Working paper

arXiv ↗

Long-memory GARCH via a two-dimensional Markov chain

with Kennedy Titus Kayaki

Working paper

arXiv ↗

Long-memory Markov chains with power-law intensities

Working paper

arXiv ↗