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Showing results 7 to 17 of 17

Marked Hawkes process modeling of price dynamics and volatility estimation

Lee, Kyungsub , Seo, Byoung Ki

Conference Paper Issue Date2015-08-25 View5
Marked Hawkes process modeling of price dynamics and volatility estimation File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-01 View5
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2023-09 View6
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-06 View4
Optimal Market-Making Strategies under Synchronised Order Arrivals with Deep Neural Networks File

Choi, So Eun , Jang, Hyun Jin , Lee, Kyungsub , Zheng, Harry

Article Issue Date2021-04 View6
Optimal market-making strategies under synchronised order arrivals with deep neural networks

Jang, Hyun Jin , Choi, So Eun , Lee, Kyungsub , Zheng, Harry

Conference Paper Issue Date2021-07-31 View2
Optimal market-making strategies under synchronised order arrivals with deep neural networks.

Choi, So Eun , Jang, Hyun Jin , Lee, Kyungsub , Zheng, Harry

Conference Paper Issue Date2021-10-30 View2
Performance of Tail Hedged Portfolio with Third Moment Variation Swap File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-10 View5
Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data File

Lee, Kyungsub

Article Issue Date2016-02 View5
Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach File

Jang, Hyun Jin , Lee, Kiseop , Lee, Kyungsub

Article Issue Date2020-02 View8
Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach

Jang, Hyun Jin , Lee, Kiseop , Lee, Kyungsub

Conference Paper Issue Date2019-07-16 View2
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