Publications

RESEARCH

Bold: Lab member / * : Corresponding author

International Journal & Conference Proceedings

Song, Jungyoon, Woojin Chang, and Jae Wook Song*. "NQF-RNN: Probabilistic Forecasting via Neural Quantile Function-based Recurrent Neural Networks." Applied Intelligence (Accepted)

Keywords: Probabilistic Forecasting, Neural quantile function, Continous ranked probability score, Trapezoidal rule

Ock, Seung Eun, Minhyuk Lee, and Jae Wook Song*. "Multifractal Analysis of the Impact of Fuel Cell Introduction in the Korean Electricity Market." Fractal and Fractional 8, no. 10 (2024): 573.

Keywords: Korean electricity market, multifractality, multifractal detrended fluctuation analysis, crossover point detection, market efficiency

Choi, Shawn SH, Peter JH Ryu, Kyuil Sim, Jaedong Seong, Jae Wook Song, Misoon Mah, Douglas DS Kim*. "AstroLibrary: A library for real-time conjunction assessment and optimal collision avoidance." Journal of Space Safety Engineering 11.3 (2024): 462-468.

Keywords: Conjunction assessment, Collision avoidance, Spatiotemporal problem, Real-time, Voronoi diagram

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

Domestic Journal

옥승은, 변준영, 김남형, 송재욱*. "기계학습 기반 시군구 건강수명 산정 모형 및 경상북도 데이터를 이용한 실증.” 경영과학 41.1 (2024): 51-70.

Keywords: Health-adjusted life expectancy, Quality-adjusted life expectancy, Machine learning, Explainable Artificial Intelligence, SHAP

이동우, 김미경, 윤정윤, 류동원, 송재욱*. "설명 가능한 인공지능을 이용한 지역별 출산율 차이 요인 분석.” 한국산업경영시스템학회지 47.1 (2024): 41-50.

Keywords: Low fertility rate, Explainable Artificial Intelligence, Machine Learning, Text Mining

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.

Keywords: Conjunction assessment, Collision avoidance, Low earth orbit satellite, Small satellite

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

Keywords: Women's safe delivery box, Optimal location, P-median, Mixed linear complementarity problem

조풍진, 이민혁, 송재욱*. "한국 주식시장에서의 군집화 기반 페어트레이딩 포트폴리오 투자 연구". 한국산업경영시스템학회지 45.3 (2022): 123-130.

Keywords: Pair trading, Clustering, Statistical Arbitrage, Investment Strategy

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