Publications

 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 (In Press)

 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.

 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.

 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.

 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. 

 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.

 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 . 

 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. 

 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. 

 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.

 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. 

 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. 

 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. 

 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. 

 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. 

 Kim, Kyungwon and Jae Wook Song*. “Managing Bubbles in the Korean Real Estate Market: A Real Options Framework.” Sustainability 10.8 (2018): 2875. 

 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. 

 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. 

 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. 

 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.

 Lee, Hojin, Jae Wook Song, and Woojin Chang*. "Multifractal Value at Risk model." Physica A: Statistical Mechanics and its Applications 451 (2016): 113-122.

 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. 

 최승환, 유중현, 김종원, 김성애, 신경우, 김용일, 이재진, 최성환, 송재욱, 김해동, 마미순, 김덕수*. "누리호 탑재 위성들의 충돌위험의 예측 및 향후 상황의 대응을 위한 분석.” 우주기술과 응용 3.2 (2023): 118-143.

 김태일, 부강민, 용수민, 이승연, 송재욱*. "서울시 여성안심택배함 증설 최적 입지 분석". 경영과학 40.1 (2023): 47-59.

 조풍진, 이민혁, 송재욱*. "한국 주식시장에서의 군집화 기반 페어트레이딩 포트폴리오 투자 연구". 한국산업경영시스템학회지 45(3) (2022): 123-130.