Working Papers
RESEARCH
Song, Jungyoon, Woojin Chang, and Jae Wook Song*. "NQF-RNN: Probabilistic Forecasting with Neural Quantile Function Recurrent Neural Network."
Choi, Younghoon, Janghyuk Youn, and Jae Wook Song*. "Price and delta prediction and hedging of the KOSPI200 barrier options via machine learning."
Park, Minho, Jun Young Byun, Namhyoung Kim, and Jae Wook Song*. "VQ-TEGAN: Data Augmentation with Text Embedding for Few-shot Learning."
Kim, Namhyoung, Juhwan Kim, and Jae Wook Song*. "Pairs trading via contrastive clustering."
Cho, Poongjin and Jae Wook Song*. "Clustering-based pairs trading with dynamic time warping."
Kim, Namhyoung, Seung Eun Ock, Dongwon Ryu, Dongwoo Lee, Chulwoo Han, and Jae Wook Song*. "FactorVQVAE: Discrete Latent Factor Model via Vector Quantized Variational Autoencoder."
Ryu, Dongwon, Jae Wook Song*. "COMFI-GAN: Deep generation of correlated multivariate financial time series."
Song, Jae Wook, Namhyoung Kim, Chang Qin, Chulwoo Han*. "Deep Momentum with Transfer Learning: International Evidence."
Ock, Seung Eun, Jae Wook Song, and Minhyuk Lee*. "Analyses on Multifractality and Market Efficiency in the Korean Electricity Market."