Publications

  • Lee, Kyungsub & Byoung Ki Seo (2023). Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data. Journal of Financial Econometrics 21(4), 1099–1143.
  • Jang, Hyeonung & Byoung Ki Seo (2022). Transmission of central bank communication to emerging economies: evidence from the Korean stock market. Emerging Markets Review 52, 100905.
  • Lee, Kyungsub & Byoung Ki Seo (2021). Analytic formula for option margin with liquidity costs under dynamic delta hedging. Applied Economics 53(29), 3391-3407.
  • Choi, Sanghak, Hyeonung Jang, Daejin Kim, & Byoung Ki Seo (2021). Derivatives use and the value of cash holdings: Evidence from the U.S. oil and gas industry. Journal of Futures Markets 41(3), 361–383.
  • Jang, Hyeonung & Byoung Ki Seo (2020). Monetary policy rate expectation and energy prices during the FOMC announcement period. Finance Research Letters 32, 101093.
  • Choi, Jaehyuk, Chenru Liu & Byoung Ki Seo (2019). Hyperbolic normal stochastic volatility model. Journal of Futures Markets 39(2), 186­–204.
  • Lee, Kyungsub & Byoung Ki Seo (2018). Filtered historical simulation for initial margin of interest rate swap under Korean market. Emerging Markets Finance and Trade 54(11), 2516–2532.
  • Lee, Kyungsub & Byoung Ki Seo (2017). Performance of tail hedged portfolio with third moment variation swap. Computational Economics 50(3), 447–471.
  • Lee, Kyungsub & Byoung Ki Seo (2017). Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. Journal of Economic Dynamics & Control 79, 154–183.
  • Lee, Kyungsub & Byoung Ki Seo (2017). Marked Hawkes process modeling of price dynamics and volatility estimation. Journal of Empirical Finance 40, 174–200.
  • Kim, Dong Han & Byoung Ki Seo (2003). The waiting time for irrational rotations. Nonlinearity 16(5), 1861–1868.
  • Choe, Geon Ho & Byoung Ki Seo (2001). Recurrence speed of multiples of an irrational number. Proceedings of the Japan Academy Series A – Mathematical Science 77(7), 134–137.

Works in Progress

  • Choi, Jaehyuk & Byoung Ki Seo, Option pricing under the normal SABR model with Gaussian quadratures. (under review)
  • Jang, Hyeonung & Byoung Ki Seo. When we leave the information on the table: information shock and stock price underreaction to monetary policy. (under review)
  • Jang, Hyeonung, Jonathan Landy, YongSeok Jho & Byoung Ki Seo. Early stage detection of financial market crash using model-free framework of machine learning. (under review)
  • Choi, Jaehyuk & Byoung Ki Seo, Valuing American option with non-parametric regression with fast Gauss transformation.
  • Choi, Jaehyuk, Young-June Choi & Byoung Ki Seo, On computation of the distribution of non-identical and correlated lognormal random variables.