Search Results - "Lee, Kiseop"

Age and Education Effects on a Novel Syntactic Assessment Battery for Elderly Adults by Sung, Jee Eun, Ahn, Heekyung, Choi, Sujin, Lee, Kiseop

“…The purpose of this study was to delineate the properties of a novel syntactic assessment battery and to present descriptive data on normal elderly…”
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A Diversification Framework for Multiple Pairs Trading Strategies by Lee, Kiseop, Leung, Tim, Ning, Boming

“…We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are…”
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Hedging with liquidity risk under CEV diffusion by Park, Sang-Hyeon, Lee, Kiseop

“…We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance…”
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Econophysics, Statistical Mechanics for Financial Applications, and Financial Mathematics by Ryu, Doojin, Lee, Kiseop

“…C. Nie and X. Jin effectively predict the long-term time series data to schedule an investment strategy and obtain higher profit, considering that a stock…”
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Intervention analysis based on exponential smoothing methods: Applications to 9/11 and COVID-19 effects by Seong, Byeongchan, Lee, Kiseop

“…This study extends intervention analysis beyond the ARIMA models, which are currently used by most scholars and practitioners, to exponential smoothing models…”
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Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback by Chakraborty, Prakash, Lee, Kiseop

“…We study an information asymmetry problem in a bond market. Especially we derive bond price dynamics of traders with different levels of information. We allow…”
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Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach by Jang, Hyun Jin, Lee, Kiseop, Lee, Kyungsub

“…We propose the Hawkes flocking model that assesses systemic risk in high‐frequency processes at the two perspectives—endogeneity and interactivity. We examine…”
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Estimation of a noisy subordinated Brownian motion via two-scales power variations by Figueroa-López, José E., Lee, Kiseop

“…High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are…”
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Information on jump sizes and hedging by Kang, Wanmo, Lee, Kiseop

“…We study a hedging problem in a market where traders have various levels of information. The exclusive information available only to informed traders is…”
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Numerical study for European option pricing equations with non-levy jumps by Yi, Son-Young, Lee, Kiseop

“…We numerically study partial integro-differential equations that arise from the pricing of options under jump-diffusion processes using finite difference…”
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Informed traders’ hedging with news arrivals by Park, Sang-Hyeon, Lee, Kiseop

“…We study a hedging and pricing problem of a market with jumps, where both jump sizes and the timing are affected by exclusive information available only to…”
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Comparison of numerical methods on pricing equations with non-Levy jumps by Ha, Taeyoung, Kim, Myoungnyoun, Lee, Kiseop

“…In option pricing and hedging problems where the price process has jumps, the corresponding pricing equation becomes a partial integro-differential equation…”
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Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book by Jung, Jiwon, Lee, Kiseop

“…Managing high-frequency data in a limit order book (LOB) is a complex task that often exceeds the capabilities of conventional time-series forecasting models…”
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Advanced Statistical Arbitrage with Reinforcement Learning by Ning, Boming, Lee, Kiseop

“…Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often…”
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Insiders’ hedging in a stochastic volatility model by Park, Sang-Hyeon, Lee, Kiseop

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A mathematical model for multi-name credit based on community flocking by Ha, Seung-Yeal, Kim, Kyoung-Kuk, Lee, Kiseop

“…We present a new mathematical model for multi-name credit that employs stochastic flocking. Flocking mechanisms have been used in a variety of models of…”
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Insiders' hedging in a jump diffusion model by Lee, Kiseop, Song, Seongjoo

“…In this paper, we formulate the optimal hedging problem when the underlying stock price has jumps, especially for insiders who have more information than the…”
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Risk Minimization for a Filtering Micromovement Model of Asset Price by Lee, Kiseop, Zeng, Yong

“…The classical option hedging problems have mostly been studied under continuous-time or equally spaced discrete-time models, which ignore two important…”
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Parameter estimation in the spatial auto-logistic model with working independent subblocks by Lim, Johan, Lee, Kiseop, Yu, Donghyeon, Liu, Haiyan, Sherman, Michael

“…We propose an approximation to the likelihood function with independent sub-blocks in the spatial auto-logistic model. The entire data is subdivided into many…”
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Discrete time hedging with liquidity risk by Ku, Hyejin, Lee, Kiseop, Zhu, Huaiping

“…► This study provides discrete time pricing and hedging strategy in a market with liquidity cost. ► It gives more realistic discrete hedging strategy in an…”
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