Kyungsub Lee

Personal Details

First Name:	Kyungsub
Middle Name:
Last Name:	Lee
Suffix:
RePEc Short-ID:	ple395

Affiliation

카이스트 (KAIST)

http://www.kaist.ac.kr
Korea, Daejeon

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
   • Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.

   Cited by:

   1. Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org.
   2. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
   3. Kyungsub Lee, 2023. "Multi-kernel property in high-frequency price dynamics under Hawkes model," Papers 2302.11822, arXiv.org.
   4. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
   5. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).

2. Kyungsub Lee & Byoung Ki Seo, 2019. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Papers 1908.05089, arXiv.org.
   • Lee, Kyungsub & Seo, Byoung Ki, 2017. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 154-183.

   Cited by:

   1. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "A fractional Hawkes process for illiquidity modeling," LIDAM Discussion Papers ISBA 2023001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
   2. Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019. "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 1-22.
      • Arouri, Mohamed El Hedi & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2017. "Cojumps and Asset Allocation in International Equity Markets," MPRA Paper 89938, University Library of Munich, Germany, revised May 2018.
   3. José da Fonseca & Yannick Malevergne, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Post-Print halshs-03590382, HAL.
      • Da Fonseca, José & Malevergne, Yannick, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
   4. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
   5. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • Hainaut, Donatien & Goutte, Stephane, 2019. "A switching microstructure model for stock prices," LIDAM Reprints ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
   6. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
      • Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.

3. Kyungsub Lee & Byoung Ki Seo, 2019. "Marked Hawkes process modeling of price dynamics and volatility estimation," Papers 1907.12025, arXiv.org.
   • Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.

   Cited by:

   1. Herrera, R. & Clements, A.E., 2018. "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
      • R Herrera & Adam Clements, 2015. "Point process models for extreme returns: Harnessing implied volatility," NCER Working Paper Series 104, National Centre for Econometric Research.
   2. Sobin Joseph & Shashi Jain, 2024. "Non-Parametric Estimation of Multi-dimensional Marked Hawkes Processes," Papers 2402.04740, arXiv.org.
   3. Kyungsub Lee, 2023. "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Papers 2304.11883, arXiv.org.
   4. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
   5. Lee, Kyungsub, 2023. "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Finance Research Letters, Elsevier, vol. 55(PA).
   6. Ji, Jingru & Wang, Donghua & Xu, Dinghai & Xu, Chi, 2020. "Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 52-70.
   7. Timoth'ee Fabre & Ioane Muni Toke, 2024. "Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets," Papers 2401.09361, arXiv.org, revised Jan 2024.
   8. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024. "Limit Order Book Simulations: A Review," Papers 2402.17359, arXiv.org, revised Mar 2024.
   9. Kyungsub Lee, 2024. "Discrete Hawkes process with flexible residual distribution and filtered historical simulation," Papers 2401.13890, arXiv.org.

Articles

1. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
   • Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
   See citations under working paper version above.
2. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 154-183.
   • Kyungsub Lee & Byoung Ki Seo, 2019. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Papers 1908.05089, arXiv.org.
   See citations under working paper version above.
3. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
   • Kyungsub Lee & Byoung Ki Seo, 2019. "Marked Hawkes process modeling of price dynamics and volatility estimation," Papers 1907.12025, arXiv.org.
   See citations under working paper version above.Sorry, no citations of articles recorded.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-MST: Market Microstructure (3) 2019-08-26 2019-08-26 2021-01-18. Author is listed
2. NEP-RMG: Risk Management (2) 2019-08-26 2021-01-18. Author is listed
3. NEP-CWA: Central and Western Asia (1) 2021-01-18. Author is listed
4. NEP-ENE: Energy Economics (1) 2021-01-18. Author is listed
5. NEP-ORE: Operations Research (1) 2019-08-26. Author is listed

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