Publications

Financial Intelligence & Market Forecasting

Pattern‑guided forecasting framework for metal price prediction with grouping decomposed series

D. Kim, J. Lee, H. Kim*

Financial Innovation, 12, 45, 2026

A Statistical Analysis of the Relationship Between Meme Stocks and Social Media

S. Lee, Y. Lee, J. Lee, H. Kim*

IEEE Access, 2025

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

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

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

Do FOMC and macroeconomic announcements affect Bitcoin prices?

S. Pyo, J. Lee*

Finance Research Letters, Vol. 37, 101386, 2020

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

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

Computational Finance & Asset Pricing

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

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

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

Intelligent Portfolio & Risk Management

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

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

Future Generation Computer Systems, 107901, 2026

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

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

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

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

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

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

Blockchain, Digital Assets & Decentralized Finance

Impact of EIP-4844 on Ethereum: Consensus Security, Ethereum Usage, Rollup Transaction Dynamics, and Blob Gas Fee Markets

S. Park, B. Mun, S. Lee, W. Jeong, J. Lee, H. Eom, H. Jang*

IEEE TNSE, 13, 2026

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

Shifting Dynamics: Bitcoin Spot ETF Approval and Bitcoin’s Relationships with Financial Markets

S. Lee, J. Lee

Applied Economics Letters, 2025

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

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

Secure Financial Infrastructure & Digital Payments

Impact of EIP-4844 on Ethereum: Consensus Security, Ethereum Usage, Rollup Transaction Dynamics, and Blob Gas Fee Markets

S. Park, B. Mun, S. Lee, W. Jeong, J. Lee, H. Eom, H. Jang

IEEE TNSE, 13, 2026

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