11 citations · 30 across the 3 of their papers we have counts for
2 papers
q-fin.ST2023★ 8 cited
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…
q-fin.TR2020★ 11 cited
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…