17 citations · 94 across the 18 of their papers we have counts for
19 papers
Asymmetric Long-Memory GARCH: Sign-Dependent Kernel Injection in a Two-Dimensional Markov Chain
Kennedy Titus Kayaki, Kyungsub Lee
We introduce ALM-GARCH, an asymmetric long-memory GARCH model in which positive and negative innovations enter conditional variance with different injection amplitudes and kernel o…
Long-memory GARCH via a two-dimensional Markov chain
Kyungsub Lee, Kennedy Titus Kayaki
This paper proposes a GARCH-type volatility model in which level-and-slope updates of a latent power-law kernel generate state-dependent decay of past shocks within a two-dimension…
Long-memory Markov chains with power-law intensities
Kyungsub Lee
We introduce a self-exciting point process with power-law intensity dynamics that admits a finite-dimensional Markovian state representation. The model is constructed to preserve t…
Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process
Kyungsub Lee
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit hea…
Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
Kyungsub Lee
This work introduces a self and mutually exciting point process that embeds flexible residuals and intensity with discretely Markovian dynamics. By allowing the integration of dive…
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Kyungsub Lee
This study examines the use of a recurrent neural network for estimating the parameters of a Hawkes model based on high-frequency financial data, and subsequently, for computing vo…
Multi-kernel property in high-frequency price dynamics under Hawkes model
Kyungsub Lee
This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participan…
Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
Kyungsub Lee
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment pro…
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…
Marked Hawkes process modeling of price dynamics and volatility estimation
Kyungsub Lee, Byoung Ki Seo
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended…
Conditional correlation in asset return and GARCH intensity model
Geon Ho Choe, Kyungsub Lee
In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the c…
High moment variations and their application
Geon Ho Choe, Kyungsub Lee
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift.…
Recursive formula for arithmetic Asian option prices
Kyungsub Lee
We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-ne…
Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
Kyungsub Lee
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The mo…