13 citations · 24 across the 3 of their papers we have counts for
7 papers
Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data
Kyungsub Lee, Byoung Ki Seo
This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-na…
Analytic formula for option margin with liquidity costs under dynamic delta hedging
Kyungsub Lee, Byoung Ki Seo
This study derives the expected liquidity cost when performing the delta hedging process of a European option. This cost is represented by an integration formula that includes Euro…
Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach
Hyun Jin Jang, Kiseop Lee, Kyungsub Lee
We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures market…
Risk-neutral option pricing under GARCH intensity model
Kyungsub Lee
The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volati…
Performance of tail hedged portfolio with third moment variation swap
Kyungsub Lee, Byoung Ki Seo
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of…
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Kyungsub Lee, Byoung Ki Seo
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model…