Stochastic volatility model

• Based on the fast-mean reverting process, I have developed various stochastic volatility models to evaluate various financial derivatives.

• Publications

  Paper

Financial economics

• I’m interested in financial economics in terms of volatility. I’ve used several econometric methods, such as GARCH, wavelet coherence, and spillover analysis.
• Publications

Paper

Financial data analytics

• I’ve investigated global financial markets by using data analysis tools.
• Publications

Paper

Machine learning

• Using various machine learning algorithms, I’ve studying on comparison between model-driven and data-driven approach performance in terms of modeling and forecasting financial time series.
• Publications

Paper