Research activities

[ Publication ]

  • Combining CNN and Grad-CAM for profitability and explainability of investment strategy: Application to the KOSPI 200 Futures, Expert Systems with Applications (SCIE) 225 (2023).

  • Exploring the impact of innovation activities on financial performance in developed and emerging markets, Systems (SSCI) 11 (2023).

  • Neural network foreign exchange trading system using CCS-IRS basis: Empirical evidence from Korea, Expert Systems With Applications (SCI) 205 (2022).

  • A new analytical approach for identifying market contagion, Financial Innovation (SSCI)  8 (2022). DOI : 10.1186/s40854-022-00339-4

  • Does your hedge fund manager smooth returns intentionally or inadvertently?, Journal of Banking and Finance (SSCI) 93 (2018).

  • The Contagion versus Interdependence Controversy between Hedge Funds and Equity Markets, European Financial Management (SSCI) 24 (2018).

  • Hedge fund styles and their contagion from equity market, International Review of Finance (SSCI) 18 (2018).

  • Dynamic Analysis of Financial Market Contagion, The Korean Journal of Applied Statistics (KCI) 29(2016).

  • Evaluating and Predicting the Failure Probabilities of Hedge Funds, Investment Analysts Journal (SSCI) 44 (2015).

  • Dynamic Prediction of Hedge Fund Survival in Crisis-Prone Financial Market, Journal of Banking and Finance (SSCI) 39 (2014).

  • The Effect of GFC on Modelling and Predicting Financial Distress in Hedge Funds, Korean Journal of Financial Management (KCI) 31 (2014).

  • Risk and Return in Hedge Funds and Funds-of-Hedge Funds: A Cross-Sectional Approach, Australasian Accounting Business and Finance journal 6 (2012).


[ Conference and Seminar Presentation ]

  • Dynamic change of market structure under market integration, 2018 재무금융 관련 5개 학회 학술연구발표회 및 특별심포지엄 (2018).

  • The downside of financial globalization: A coherent network approach, 한국통계학회 2018년 춘계학술 논문 발표회 (2018).

  • Does your hedge fund manager smooth returns intentionally or inadvertently?, The 12th International Conference on Asia-Pacific Financial Markets (2017).

  • The contagion versus interdependence controversy between hedge funds and equity markets, 2017 Asian Meeting of the Econometric Society (2017).

  • Hedge fund styles and their contagion from equity market, 2017 재무금융관련 5개학회 학술연구발표회 및 특별심포지엄 (2017).

  • A coherent network approach for financial market integration issue, 한국증권학회 2017년 제 1차 정기학술발표회 (2017).

  • Contagion vs interdependence controversy between hedge funds and equity markets, 재무금융 관련 5개학회 학술연구발표회 (2016).

  • The Contagion versus interdependence controversy between hedge funds and equity markets, 서울대학교 증권 금융연구소 투자연구 교육센터 제 4차 연구과제 심포지엄 (2015).

  • A new dynamic approach to measuring financial contagion between equity markets and hedge funds, The 1st Finance Seminar held by Yonsei Business School (2014)
  • The effect of the GFC on modelling and predicting financial distress in hedge funds, 한국재무관리학회 추계 정기학술발표회 (2013).
  • Forecasting failure probabilities of hedge funds - A survival approach, The 18th World Finance & Banking Symposium (2012).
  • Modelling and forecasting failure of hedge funds and funds-of-hedge funds, The 7th Conference on Asia-Pacific Financial Markets of the Korean Securities Association (2012).
  • Dynamic prediction of financial distress in hedge funds and funds-of-hedge funds, The 5th Conference on Asia-Pacific Financial Markets of the Korean Securities Association (2010).
  • Flying blind: Predicting financial distress in hedge funds and funds-of-hedge funds, The 17th Annual Global Finance Conference (2010).
  • Dynamic prediction of financial distress in hedge funds and funds-of-hedge funds, The 23rd Australasian Finance and Banking Conference (2010).

  • How likely do funds fail?, The 17th Conference on the Theories and Practices of Securities and Financial Markets (2009).