Scholarworks@UNIST

UNIST Library
Search

서병기
Seo, Byoung Ki

서병기

School of Business Administration(경영과학부)

Research Interests
Financial Engineering;Finanicial Mathematics;Market microstructure;금융공학;시장미세구조;파생상품;블록체인
Lab Description
Dr. Seo had worked on financial derivatives market as a quant and trader before being appointed as a professor of business administration at UNIST in 2012. The research is focused on giving solutions to the financial market based on his experiences. He published papers on financial market volatility and liquidity. He is also in the process of developing a model to stabilize the financial market.
Recently, he was interested in energy trading and founded ”Energy Commodity Trading and Financial Engineering” program and “Center for International Energy Trading”. He is also interested in blockchain technology and has established ”UNIST Blockchain Research Center” and serves as the director. Financial market analysis and forecasting using AI techniques is one of his important research topics as well.
Researcher ID Research Gate ORCiD Scopus Google Scholar
Previous
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 View17
Transmission of central bank communication to emerging economies: Evidence from the Korean stock market File

Jang, Hyeonung , Seo, Byoung Ki

Article Issue Date2022-09 View19
Analytic formula for option margin with liquidity costs under dynamic delta hedging File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2021-06 View31
Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry File

Choi, Sanghak , Jang, Hyeonung , Kim, Daejin , Seo, Byoung Ki

Article Issue Date2021-03 View13
Monetary policy rate expectation and energy prices during the FOMC announcement period File

Jang, Hyeonung , Seo, Byoung Ki

Article Issue Date2020-03 View8
Hyperbolic normal stochastic volatility model File

Choi, Jaehyuk , Liu, Chenru , Seo, Byoung Ki

Article Issue Date2019-02 View10
Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2018-06 View9
Performance of Tail Hedged Portfolio with Third Moment Variation Swap File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-10 View13
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 View9
Marked Hawkes process modeling of price dynamics and volatility estimation File

Lee, Kyungsub , Seo, Byoung Ki

Article Issue Date2017-01 View11
The waiting time for irrational rotations File

Kim, DH , Seo, Byoung Ki

Article Issue Date2003-09 View16
Recurrence speed of multiples of an irrational number File

Choe, GH , Seo, BK

Article Issue Date2001-09 View11
1

RSS 1.0 RSS 2.0

CONTACT US

UNIST | Library

Tel : 052-217-1404 / Email : scholarworks@unist.ac.kr

Copyright (c) 2023 by UNIST LIBRARY. All rights reserved.

ScholarWorks@UNIST was established as an OAK Project for the National Library of Korea.