International Journal
RESEARCH
Cho, Younghwan and Jae Wook Song*. "Hierarchical risk parity using security selection based on peripheral assets of correlation-based minimum spanning trees." Finance Research Letters 53 (2023): 103608.
Keywords: Portfolio management, Hierarchical risk parity, Global motion correlation, Minimum spanning tree, Security selection
Lee, Minhyuk, Cho, Younghwan, Seung Eun Ock, and Jae Wook Song*. "Analyzing asymmetric multifractal behavior in cryptocurrency market using capital asset pricing model filter." Fractal and Fractional 7, no. 1 (2023): 85.
Keywords: Multifractal detrended fluctuation analysis, Capital asset pricing model filter, Idiosyncratic risk premium, Asymmetric volatility, Asymmetric multifractality
Choi, Sungyoon, Dongkyu Gwak, Jae Wook Song, and Woojin Chang*. “Stock market network based on bi-dimensional histogram and autoencoder.” Intelligent Data Analysis 26.3 (2022): 723-750.
Keywords: Autoencoder, Complex network, Dimensionality reduction, Latent space visualization, Histogram, Stock portfolio
Kim, Kyungwon, Ji Hwan Park, Minhyuk Lee, Jae Wook Song*. "Unsupervised change point detection and trend prediction for financial time-series using a new CUSUM-based approach." IEEE Access 10 (2022): 34690-34705.
Keywords: Unsupervised learning, Change point detection, Iterative cumulative sum of squares, Krskal-Wallis
Cho, Poongjin, Ji Hwan Park, and Jae Wook Song*. "Equity Research Report-Driven Investment Strategy in Korea Using Binary Classification on Stock Price Direction." IEEE Access 9 (2021): 46364-46373.
Keywords: Finance, Natural language processing, Stock markets, Equity research reports, Binary classification, Investment strategy
Kim, Kyungwon and Jae Wook Song*. "Analyses on volatility clustering in financial time-series using clustering indices, asymmetry, and visibility graph." IEEE Access 8 (2020): 208779 - 208795.
Keywords: Clustering asymmetry, Clustering index, Finance, Pattern clustering, Power-law decay, Statistical analysis, Time series analysis, Visibility graph, Volatility clustering
Park, Ji Hwan, Woojin Chang, and Jae Wook Song*. "Link prediction in the Granger causality network of the global currency market." Physica A: Statistical Mechanics and its Applications 553 (2020): 124668 .
Keywords: Currency market, Link prediction, Granger causality network, Real effective exchange rate
Ku, Seungmo, Changju Lee, Woojin Chang, and Jae Wook Song*. "Fractal structure in the S&P500: A correlation-based threshold network approach." Chaos, Solitons & Fractals 137 (2020): 109848.
Keywords: Fractal dimension, Threshold network, Strong effective repulsion, Market prediction
Kim, Sondo, Seungmo Ku, Woojin Chang, and Jae Wook Song*. "Predicting the Direction of US Stock Prices Using Effective Transfer Entropy and Machine Learning Techniques." IEEE Access 8 (2020): 111660-111682.
Keywords: Econophysics, Effective transfer entropy, Feature engineering, Information entropy, Machine learning, Prediction algorithms, Stock markets, Time series analysis
Kim, Kyungwon and Jae Wook Song*. "Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions." Sustainability 12.3 (2020): 1220.
Keywords: Housing bubble, Bubble reduction, Real options, American option, Binomial tree, Residential characteristics
Oh, Sung Youl, Jae Wook Song, Woojin Chang, and Minhyuk Lee*. "Estimation and Forecasting of Sovereign Credit Rating Migration Based on Regime Switching Markov Chain." IEEE Access 7 (2019): 115317-115330.
Keywords: Credit migration, Economic forecasting, Hidden Markov models, Markov processes, Regime switching, Sovereign credit rating
Song, Jung Yoon, Woojin Chang, and Jae Wook Song*. “Cluster analysis on the structure of the cryptocurrency market via Bitcoin-Ethereum filtering.” Physica A Statistical Mechanics and its Applications 527 (2019): 121339.
Keywords: Cryptocurrency, Market structure, Bitcoin-Ethereum filtering, Clustering, Minimum spanning tree
Cho, Poongjin, Woojin Chang, and Jae Wook Song*. "Application of instance-based entropy fuzzy support vector machine in peer-to-peer lending investment decision." IEEE Access 7 (2019): 16925-16939.
Keywords: Entropy, Support vector machine, Financial management, Decision support systems, Peer-to-peer lending
Lee, Minhyuk, Jae Wook Song, Sondo Kim, and Woojin Chang*. "Asymmetric market efficiency using the index-based asymmetric-MFDFA." Physica A: Statistical Mechanics and its Applications 512 (2018): 1278-1294.
Keywords: Market efficiency, A-MFDFA, Stock markets, Asymmetric multi-fractality, Hurst exponent
Ko, Bonggyun and Jae Wook Song*. “A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility.” Physica A: Statistical Mechanics and its Applications 505 (2018): 398-412.
Keywords: Mean escape time, Interest rate, Term structure, Stochastic volatility, Noise enhanced stability
Kim, Kyungwon and Jae Wook Song*. “Managing Bubbles in the Korean Real Estate Market: A Real Options Framework.” Sustainability 10.8 (2018): 2875.
Keywords: Real estate market, Bubbles, Real options, Binomial tree, Heteroscedasticity, Jeonse system
Ko, Bonggyun, Jae Wook Song, and Woojin Chang*. "Crash forecasting in the Korean stock market based on the log-periodic structure and pattern recognition." Physica A: Statistical Mechanics and its Applications 492 (2018): 308-323.
Keywords: Log-periodicity, Price forecasting, Diffusion model, Pattern recognition, Non-linear time series, Financial market
Song, Jae Wook, Bonggyun Ko, and Woojin Chang*. “Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree.” Physica A: Statistical Mechanics and its Applications 491 (2018): 289-304.
Keywords: Systemic risk, Marginal expected shortfall, Parametric model, Non-linearity, Minimum spanning tree
Lee, Minhyuk, Jae Wook Song, Ji Hwan Park, and Woojin Chang*. “Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA.” Chaos, Solitons & Fractals 97 (2017): 28-38.
Keywords: Asymmetric multi-fractality, A-MFDFA, Stock indices, Return trend, Index trend
Song, Jae Wook, Bonggyun Ko, Poongjin Cho, and Woojin Chang*. "Time-varying causal network of the Korean financial system based on firm-specific risk premiums." Physica A: Statistical Mechanics and its Applications 458 (2016): 287-302.
Keywords: Causal network, Korean financial market, Risk-spillovers, Network connectivity, Financial stability
Lee, Hojin, Jae Wook Song, and Woojin Chang*. "Multifractal Value at Risk model." Physica A: Statistical Mechanics and its Applications 451 (2016): 113-122.
Keywords: Value at Risk, Multifractality, Binomial multifractal model, Multifractal model of asset return, Financial time seires
Ko, Bonggyun, Jae Wook Song, and Woojin Chang*. "Simulation of financial market via nonlinear Ising model." International Journal of Modern Physics C 27, no. 04 (2016): 1650038.
Keywords: Nonlinear Ising model, Financial return, Stock indices, CDS spread, Fat-tail