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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 View22
Marked Hawkes process modeling of price dynamics and volatility estimation File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-01 View16
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 View23
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 View14
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 View14
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 View7
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 View6
Performance of Tail Hedged Portfolio with Third Moment Variation Swap File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-10 View18
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 View14
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 View30
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 View10
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