11 citations · 12 across the 6 of their papers we have counts for
8 papers
Scale or speed? When do path signatures improve volatility-regime forecasts?
Yang Lyu, Kiseop Lee
We study when path signatures, increasingly used as model-free features of return paths, improve out-of-sample forecasts of volatility regimes. In daily United States and developed…
ReLOBGen: Replayable Limit Order Book Message Generation
Junoh Kang, Kiseop Lee, Bohyung Han
We propose ReLOBGen, a method for generating limit order book (LOB) messages that are replayable by construction. Replayability is required for closed-loop market simulation, yet e…
Neural Networks Learning the Radon--Nikodym Derivative: Empirical Option Pricing in Incomplete Markets
Ziyuan Zhang, Kiseop Lee
In incomplete markets, no-arbitrage (NFLVR) guarantees the existence, not the uniqueness, of an equivalent local martingale measure (ELMM): unhedgeable risks (jumps, stochastic vol…
Probabilistic Signature Inversion: Learning Conditional Distributions from Truncated Signatures
Junoh Kang, Kiseop Lee, Bohyung Han
The signature transform is a principled feature map for continuous-time paths, valued for its uniqueness and universality. Recovering a path from its truncated signature is, howeve…
A Topological Approach to Parameterizing Deep Hedging Networks
Alok Das, Kiseop Lee
Deep hedging uses recurrent neural networks to hedge financial products that cannot be fully hedged in incomplete markets. Previous work in this area focuses on minimizing some mea…
Advanced Statistical Arbitrage with Reinforcement Learning
Boming Ning, Kiseop Lee
Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on mode…
Optimal Entry and Exit with Signature in Statistical Arbitrage
Boming Ning, Prakash Chakraborty, Kiseop Lee
In this paper, we explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping framework is formulat…
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…