13 citations · 13 across the 2 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…
Improved Predictive Deep Temporal Neural Networks with Trend Filtering
Youngjin Park, Deokjun Eom, Byoungki Seo +1
Forecasting with multivariate time series, which aims to predict future values given previous and current several univariate time series data, has been studied for decades, with on…
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…