Kyungsub Lee

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics Methodology and Computing in Applied Probability	2025-04-28	Paper
Multi-kernel property in high-frequency price dynamics under Hawkes model Studies in Nonlinear Dynamics and Econometrics	2025-02-21	Paper
Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
Optimal market-making strategies under synchronised order arrivals with deep neural networks Journal of Economic Dynamics and Control	2021-11-16	Paper
COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS Probability in the Engineering and Informational Sciences	2020-05-27	Paper
Conditional correlation in asset return and GARCH intensity model AStA. Advances in Statistical Analysis	2018-11-09	Paper
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data Journal of Economic Dynamics and Control	2018-08-09	Paper
Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation East Asian Journal on Applied Mathematics	2017-10-23	Paper

Research outcomes over time

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