11 citations · 11 across the 2 of their papers we have counts for
2 papers
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…
q-fin.PM2020
Optimal Investment, Heterogeneous Consumption and Best Time for Retirement
Hyun Jin Jang, Zuo Quan Xu, Harry Zheng
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The util…