4 papers
A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement
Hyoeun Lee, Kiseop Lee
We study the joint dynamics of the best bid and ask prices with a spread-gated Hawkes-flocking model. The model tracks four types of best-quote movements: spread-narrowing movement…
Option pricing under path-dependent stock models
Kiseop Lee, Seongje Lim, Hyungbin Park
This paper studies how to price and hedge options under stock models given as a path-dependent SDE solution. When the path-dependent SDE coefficients have Fréchet derivatives, an o…
Optimal execution with liquidity risk in a diffusive order book market
Hyoeun Lee, Kiseop Lee
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time hor…
Estimation of a noisy subordinated Brownian Motion via two-scales power variations
Jose E. Figueroa-Lopez, K. Lee
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the t…