21 citations · 29 across the 7 of their papers we have counts for
8 papers
CBO algorithm with average drift and applications to portfolio optimization
Hyeong-Ohk Bae, Seung-Yeal Ha, Chanho Min +2
We propose a consensus based optimization algorithm with average drift (in short Ad-CBO) and provide a theoretical framework for it. In the theoretical analysis, we show that parti…
Mathematical modeling of trend cycle: Fad, Fashion and Classic
Hyeong-Ohk Bae, Seung Yeon Cho, Jane Yoo +1
In this work, we suggest a system of differential equations that quantitatively models the formulation and evolution of a trend cycle through the consideration of underlying dynami…
Physics-Informed Convolutional Transformer for Predicting Volatility Surface
Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae +2
Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The Black-Scholes opt…
A Constrained Consensus Based Optimization algorithm and its Application to Finance
Hyeong-Ohk Bae, Seung-Yeal Ha, Myeongju Kang +3
In this paper, we propose a predictor-corrector type Consensus Based Optimization (CBO) algorithm on a convex feasible set. Our proposed algorithm generalizes the CBO algorithm in…
A kinetic description for the herding behavior in financial market
Hyeong-Ohk Bae, Seung-Yeon Cho, Jeongho Kim +1
As a continuation of the study of the herding model proposed in (Bae et al. in arXiv:1712.01085, 2017), we consider in this paper the derivation of the kinetic version of the herdi…
A particle model for the herding phenomena induced by dynamic market signals
Hyeong-Ohk Bae, Seung-yeon Cho, Sang-hyeok Lee +1
In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2…
Global regular motions for compressible barotropic viscous fluids. Stability
H-O. Bae, Wojciech M. Zajączkowski
We consider viscous compressible barotropic motions in a bounded domain with the Dirichlet boundary conditions for velocity. We assume the existence of some…
On the effect of external forces on incompressible fluid motions at large distances
Hyeong-Ohk Bae, Lorenzo Brandolese
We study incompressible Navier--Stokes flows in~ with small and well localized data and external force~. We establish pointwise estimates for large~ of the form \hbox…