Publications

Financial AI and Computational Finance

Balancing explainability and privacy in bank failure prediction: a differentially private glass-box approach

J. Byun, J. Lee, H. Lee, B, Son

IEEE Access, 2025

Explaining determinants of bank failure prediction via neural additive model

B, Son, J. Lee, H, Kim

Applied Economics Letters, 1-6, 2025

Temporal consistency ensemble empirical mode decomposition for forecasting practical metal price

Y. Choi, D. Kim, J. Lee*

Engineering Applications of Artificial Intelligence, Vol. 158, 111490, 2024

Advancing financial privacy: A novel integrative approach for privacy-preserving optimal portfolio

H. Ko, J. Lee, J. Byun*

Future Generation Computer Systems, 107901, 2025

Portfolio management transformed: An enhanced Black–Litterman approach integrating asset pricing theory and machine learning

H. Ko, J. Lee*

Computational Economics, pp. 1–47, 2025

Influence and predictive power of sentiment: Evidence from the lithium market

W. Jeong, S. Park, S. Lee, B. Son, J. Lee*, H. Ko

Finance Research Letters, Vol. 68, 105871, 2024

Modeling asset price process: An approach for imaging price chart with generative diffusion models

J. Park, H. Ko, J. Lee*

Computational Economics, 2024

Can ChatGPT improve investment decisions? From a portfolio management perspective

H. Ko, J. Lee*

Finance Research Letters, Vol. 64, 105433, 2024

A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management

H. Ko, B. Son, J. Lee*

Journal of International Financial Markets, Institutions and Money, Vol. 91, 101949, 2024

Sequence and longevity risks of South Korean retirees: Insights and potential remedies

H. Ko, S. Lee, J. Lee*

Pacific-Basin Finance Journal, Vol. 83, 102263, 2024

Forecasting global stock market volatility: The impact of volatility spillover index in spatial-temporal graph-based model

B. Son, Y. Lee, S. Park, J. Lee*

Journal of Forecasting, Vol. 42(7), pp. 1539–1559, 2023

A privacy-preserving robo-advisory system with the Black–Litterman portfolio model: A new framework and insights into investor behavior

H. Ko, J. Byun, J. Lee*

Journal of International Financial Markets, Institutions and Money, Vol. 89, 101873, 2023

A privacy-preserving mean–variance optimal portfolio

J. Byun, H. Ko, J. Lee*

Finance Research Letters, Vol. 54, 103794, 2023

Graph-based multi-factor asset pricing model

B. Son, J. Lee*

Finance Research Letters, Vol. 44, 102032, 2022

Generative Bayesian neural network model for risk-neutral pricing of American index options

H. Jang, J. Lee*

Quantitative Finance, Vol. 19(4), pp. 587–603, 2019

Machine learning versus econometric jump models in predictability and domain adaptability of index options

H. Jang, J. Lee*

Physica A: Statistical Mechanics and its Applications, 2019

Exploiting the low-risk anomaly using machine learning to enhance the Black–Litterman framework: Evidence from South Korea

S. Pyo, J. Lee*

Pacific-Basin Finance Journal, Vol. 51, pp. 1–12, 2018

An empirical study on modeling and prediction of bitcoin prices with Bayesian neural networks based on blockchain information

H. Jang, J. Lee*

IEEE Access, Vol. 6, pp. 5427–5437, 2018

Predictability of machine learning techniques to forecast the trends of market index prices: Hypothesis testing for the Korean stock markets

S. Pyo, J. Lee, M. Cha, H. Jang*

PLoS ONE, Vol. 12(11), e0188107, 2017

Nonparametric machine learning models for predicting the credit default swaps: An empirical study

Y. Son, H. Byun, J. Lee*

Expert Systems with Applications, Vol. 58(1), pp. 210–220, 2016

Predicting market impact costs using nonparametric machine learning models

S. Park, J. Lee, Y. Son*

PLoS ONE, Vol. 11(2), pp. 1–13, 2016

Stability of an implicit method to evaluate option prices under local volatility with jumps

J. Lee, Y. Lee*

Applied Numerical Mathematics, Vol. 87(1), pp. 20–30, 2015

Parametric models and non-parametric machine learning models for predicting option prices: Empirical comparison study over KOSPI 200 Index options

H. Park, N. Kim*, J. Lee

Expert Systems with Applications, Vol. 41(11), pp. 5227–5237, 2014

Do affine jump-diffusion models require global calibration? Empirical studies from option markets

S. Yang, J. Lee*

Quantitative Finance, Vol. 14(1), pp. 111–123, 2014

No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options

N. Kim, J. Lee*

Journal of Empirical Finance, Vol. 21(2), pp. 36–53, 2013

Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models

J. Lee, Y. Lee*

Journal of Computational and Applied Mathematics, Vol. 237(1), pp. 234–243, 2013

Forecasting nonnegative option price distribution using Bayesian kernel methods

H. Park, J. Lee*

Expert Systems with Applications, Vol. 39(18), pp. 13243–13252, 2012

Forecasting trends of high-frequency KOSPI200 index data using learning classifiers

Y. Son, D. Noh, J. Lee*

Expert Systems with Applications, Vol. 39(14), pp. 11607–11615, 2012

Multi-basin particle swarm intelligence method for optimal calibration of parametric Lévy models

S. Yang, J. Lee*

Expert Systems with Applications, Vol. 39(1), pp. 482–493, 2012

Calibrating parametric exponential Lévy models to option market data by incorporating statistical moments priors

S. Yang, Y. Lee, G. Oh, J. Lee*

Expert Systems with Applications, Vol. 38(3), pp. 4816–4823, 2011

Predicting a distribution of implied volatilities for option pricing

S. Yang, J. Lee*

Expert Systems with Applications, Vol. 38(3), pp. 1702–1708, 2011

Kernel-based Monte Carlo simulation for American option pricing

G. Han, B. Kim, J. Lee*

Expert Systems with Applications, Vol. 36(3), pp. 4431–4436, 2009

Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models

G. Han, J. Lee*

Expert Systems with Applications, Vol. 35(1–2), pp. 515–523, 2008

Blockchain, Digital Assets (CBDC, stablecoins, Cryptocurrencies, NFTs)

LiqBoost: Enhancing liquidity provision for blockchain-based decentralized exchanges

W. Jeong, S. Park, J. Lee, Y. Lee

Expert Systems with Applications, Vol 297, 129230, 2026

Optimal Strategy in Blockchain Transaction Issuances with CIR Process

B, Son, S. Park, J. Lee, H. Jang

Computational Economics, 1-23, 2025

Interconnected dynamics of sustainable cryptocurrencies: Insights from transfer entropy analysis

S. Lee, J. Lee, W. Lee

Finance Research Letters, Vol. 76, 106914, 2025

Unraveling the MEV enigma: ABI-free detection model using graph neural networks

S. Park, W. Jeong, Y. Lee, B. Son, H. Jang, J. Lee*

Future Generation Computer Systems, Vol. 153, pp. 70–83, 2024

Portfolio insurance strategy in the cryptocurrency market

H. Ko, B. Son, J. Lee*

Research in International Business and Finance, Vol. 67, 102135, 2024

Non-fungible tokens: A hedge or a safe haven?

H. Ko, J. Lee*

Applied Economics Letters, Vol. 31(14), pp. 1278–1285, 2024

Price co-movements in decentralized financial markets

S. Park, S. Lee, Y. Lee, H. Ko, B. Son, J. Lee, H. Jang*

Applied Economics Letters, 2022

The economic value of NFT: Evidence from a portfolio analysis using mean-variance framework

H. Ko, B. Son, Y. Lee, H. Jang, J. Lee*

Finance Research Letters, Vol. 47, 102784, 2022

Dissecting the Terra-LUNA crash: Evidence from the spillover effect and information flow

S. Lee, J. Lee, Y. Lee*

Finance Research Letters, Vol. 53, 103590, 2023

Atomic cross-chain settlement model for central banks digital currency

Y. Lee, B. Son, H. Jang, J. Byun, T. Yoon, J. Lee*

Information Sciences, Vol. 580, pp. 838–856, 2021

Do FOMC and macroeconomic announcements affect Bitcoin prices?

S. Pyo, J. Lee*

Finance Research Letters, Vol. 37, 101386, 2020

• • 손실 산입 학습 방법, 그의 장치, 기록 매체 및 이를 적용한 전자 디바이스(LEARNING METHOD, APPARATUS, COMPUTER READABLE RECORDING MEDIUM FOR IMPUTING MISSING DATA AND ELECTRONIC DEVICE USING THE METHOD), 10-2770927 (Registered), February 2025

  • 차분 정보 보호를 지원하는 클러스터링 방법 및 장치(METHOD AND APPARATUS FOR CLUSTERING WITH DIFFERENTIAL PRIVACY SUPPORT), 10-2815746 (Registered), May 2025

  • 클래스 의존적 도메인 유사화 학습 방법, 장치 및 컴퓨터 판독 가능한 기록 매체(METHOD, APPARATUS AND COMPUTER READABLE RECORDING MEDIUM FOR LEARNING DOMAIN INVARIANT OF COMPACT CLASS-CONDITIONAL DOMAIN ADAPTATION), 10-2526086 (Registered), April 2023

  • 공정 분포 추정을 통한 공정 군집화 방법 및 그의 장치(METHOD AND APPARATUS FOR PERFORMING FAIR CLUSTERING THROUGH ESTIMATING FAIR DISTRIBUTION), 10-2542451 (Registered), June 2023

  • 동형 암호를 이용한 투자 포트폴리오 제공 장치 및 방법(METHOD AND APPARATUS FOR INVESTMENT PORTFOLIO USING HOMOMORPHIC ENCRYPTION), 10-2023-0080813 (Application), June 2023

  • 적대적 음성 예제를 감지 방법 및 시스템(METHOD AND SYSTEM FOR DETECTING ADVERSARIAL AUDIO EXAMPLES), 10-2023-0087024 (Application), July 2023

  • 적대적 음성 예제 생성 방법 및 시스템(METHOD AND SYSTEM FOR GENERATING ADVERSARIAL AUDIO EXAMPLES), 10-2023-0087006 (Application), July 2023

  • 동형 암호를 활용한 사적 변수의 보안 방법 및 장치(METHOD AND APPARATUS FOR PRIVACY PRESERVING USING HOMOMORPHIC ENCRYPTION WITH PRIVATE VARIABLES), 10-2633416 (Registered), January 2024

  • METHOD AND APPARATUS FOR PRIVACY PRESERVING USING HOMOMORPHIC ENCRYPTION WITH PRIVATE VARIABLES, 17-853798 (US Application), June 2022

  • 클래스 의존적 도메인 유사화 학습 방법, 장치 및 컴퓨터 판독 가능한 기록 매체(METHOD, APPARATUS AND COMPUTER READABLE RECORDING MEDIUM FOR LEARNING DOMAIN INVARIANT OF COMPACT CLASS-CONDITIONAL DOMAIN ADAPTATION), 1020200147036 (Application), November 2020

  • 공정 분포 추정을 통한 공정 군집화 방법 및 그의 장치(METHOD AND APPARATUS FOR PERFORMING FAIR CLUSTERING THROUGH ESTIMATING FAIR DISTRIBUTION), 1020200146312 (Application), November 2020

  • 손실 산입 학습 방법, 그의 장치, 기록 매체 및 이를 적용한 전자 디바이스(LEARNING METHOD, APPARATUS, COMPUTER READABLE RECORDING MEDIUM FOR IMPUTING MISSING DATA AND ELECTRONIC DEVICE USING THE METHOD), 1020200146311 (Application), November 2020

  • 도메인 적응을 위한 분산화된 문서 표현 방법(DISTRIBUTED DOCUMENT REPRESENTATION METHOD FOR DOMAIN ADAPTATION), 1022808560000 (Registered), July 2021

  • 문서 임베딩을 생성하는 장치 및 방법(APPARATUS AND METHOD FOR GENERATING DOCUMENT EMBEDDING), 1022808560000 (Registered), March 2021

  • 가우시안 프로세스 회귀분석을 이용한 클러스터링 방법 및 그 장치(CLUSTERING METHOD AND APPARATUS USING GAUSSIAN PROCESS REGRESSION), 1020180119443 (Application), November 2018

  • 관련도 벡터 머신을 이용한 기계학습방법, 이를 구현하는 컴퓨터 프로그램 및 이를 수행하도록 구성되는 정보처리장치(MACHINE LEARNING METHOD USING RELEVANCE VECTOR MACHINE, COMPUTER PROGRAM IMPLEMENTING THE SAME AND INFORMATION PROCESSING DEVICE CONFIGURED TO PERFORM THE SAME), 1018951210000 (Registered), August 2018

  • 다양체 학습에 기반한 데이터 분류 방법(METHOD FOR DATA CLASSIFICATION BASED ON MANIFOLD LEARNING), 1015884310000 (Registered), January 2016

  • 보로노이 셀 기반의 서포트 클러스터링 장치 및 방법(DEVICE AND METHOD FOR VORONOIS CELL-BASED SUPPORT CLUSTERING), 1015772490000 (Registered), December 2015

  • 대용량 데이터에 대한 고속 커널 퀀타일 군집화 방법(FAST KERNEL QUANTILE CLUSTERING METHOD FOR LARGE-SCALE DATA), 1011338040000 (Registered), March 2012

  • 평형기반 서포트 벡터를 이용한 귀납적이고 계층적인 군집화 방법(INDUCTIVE AND HIERARCHICAL CLUSTERING METHOD USING EQUILIBRIUM-BASED SUPPORT VECTOR), 1008952610000 (Registered), April 2009

  • 서포트 벡터 도메인 묘사를 이용한 다범주 분류 방법 및 장치와 그에 사용되는 컴퓨터 판독가능 저장매체 (METHOD AND APPARATUS FOR MULTI-CLASS CLASSIFICATION USING SUPPORT VECTOR DOMAIN DESCRIPTION, AND COMPUTER-READABLE STORAGE MEDIUM USED THERETO), 1008422150000 (Registered), June 2008