28 citations · 77 across the 25 of their papers we have counts for
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cs.LG2024
Robust Reinforcement Learning under Diffusion Models for Data with Jumps
Chenyang Jiang, Donggyu Kim, Alejandra Quintos +1
Reinforcement Learning (RL) has proven effective in solving complex decision-making tasks across various domains, but challenges remain in continuous-time settings, particularly wh…
econ.EM2024★ 1 cited
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
Sung Hoon Choi, Donggyu Kim
In this paper, we introduce a novel method for predicting intraday instantaneous volatility based on Ito semimartingale models using high-frequency financial data. Several studies…
stat.ME2024
Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure
Minseok Shin, Donggyu Kim
In this paper, we propose a novel high-dimensional time-varying coefficient estimator for noisy high-frequency observations with a factor structure. In high-frequency finance, we o…