2026
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Statistics · Financial modelling
Kyungsub Lee이경섭
Professor, Department of Statistics
Yeungnam University
I use probability and statistics to understand the dynamics of financial markets, exploring the mathematical structures underlying randomness and uncertainty.
I pursue research out of personal curiosity, with the hope of contributing to better ways of advancing human understanding.
Research themes
Stochastic models & memory
Point processes, diffusions, and models of stochastic intensity and volatility. Particular interests include flexible distributions, long memory, and Markov structure.
Financial market dynamics
Models of price changes, order arrivals, and durations, connecting stochastic structures with financial market data.
Inference, computation & derivatives
Statistical inference and simulation for stochastic models, with earlier work on option pricing and hedging.
Recent publications
2026
Price predictability in limit order book with deep learning model
Applied Economics Letters
Article ↗ arXiv ↗2025
Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
Methodology and Computing in Applied Probability
Article ↗ arXiv ↗Working papers
2026
2026
2026