장희수 교수
장희수 교수
장희수 교수
• 전 공 : Statistical learning, Computational finance
• 담당과목 : 금융수학, 금융특강2
• 이 메 일 : yej523@ssu.ac.kr
• 연 구 실 : 02-828-7389, 숭덕경상관 515호
• 개인홈페이지 : https://sites.google.com/view/huisujang/
♦ EDUCATION
• 2013, 서울대학교 산업공학과 학사
• 2015, 서울대학교 산업공학과 석사
• 2018, 서울대학교 산업공학과 박사
-Thesis: Predictive Models for Blockchain, Cryptocurrency, and Derivatives Market
• 2018.03-2018.08 연수연구원, 서울대학교 수학기반 산업데이터 연구센터
♦ PUBLICATIONS
International Journals (* corresponding)
1. Sujin Pyo, Jaewook Lee, Mincheol Cha, and Huisu Jang* (2017). Predictability of machine learning techniques to forecast the trends of market index prices: Hypothesis testing for the Korean stock markets. PloS one, 12(11), e0188107.
2. Huisu Jang and Jaewook Lee * (2018). An Empirical Study on Modeling and Prediction of Bitcoin Prices with Bayesian Neural Networks Based on Blockchain Information. IEEE Access, 6, 5427-5437.
3. Huisu Jang and Jaewook Lee* (2019). Generative Bayesian Neural Network Model for Risk-Neutral Pricing of American Index Options. Quantitative Finance, 19 (4), 587-603.
4. Huisu Jang and Jaewook Lee* (2019). Machine Learning versus Econometric Jump Models in Predictability and Domain Adaptability of Index Options. Physica A: Statistical Mechanics and its Applications, 513, 74-86.
5. Bumho Son, Jaewook Lee, and Huisu Jang* (2020). A Scalable IoT Protocol via an Efficient DAG- Based Distributed Ledger Consensus. Sustainability, 12.4, 1529.
6. Yunyoung Lee, Bunho Son, Seongwan Park, Jaewook Lee, and Huisu Jang* (2021). A survey on security and privacy in blockchain-based central bank digital currencies. Journal of Internet Services and Information Security, 3(11), 16-29.
7. Yunyoung Lee, Huisu Jang, Bumho Son, Junyoung Byun, TaeHo Yoon, and Jaewook Lee* (2021). Quantum Resistant Blockchain-based Settlement with Atomic Cross-Chain. Information Sciences, 580, 838-856.
8. Hyungjin Ko, Bumho Son, Yunyoung Lee, Huisu Jang, and Jaewook Lee*. The economic value of NFT: Evidence from a portfolio analysis using mean-variance framework. Finance Research Letters 47 (2022): 102784.
9. Park, S., Lee, S., Lee, Y., Ko, H., Son, B., Lee, J., & Jang, H. (2022). Price co-movements in decentralized financial markets. Applied Economics Letters, 1-8.