금융학부

• 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

A. 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.

 

 

B. Working Papers

 

1. Bumho Son, and Huisu Jang*. Economic value of blockchain-based securities settlement: Asymmetric transaction structure versus clearing efficiency. Under review to Research in International Business and Finance

 

2. Ko, S., Lee, K., Cho, H., Hwang, Y., & Jang, H. Afl-Dag: Asynchronous Federated Learning with Directed Acyclic Graph-Based Blockchain in Edge Computing. Under review to Expert systems with applications

 

 

C. International Conferences

 

1. Huisu Jang and Jaewook Lee, A General Framework for Building Machine Learning Models For Pricing American Index Options With No-arbitrage, the MIDAS 2016 ECML-PKDD Workshop, Riva del Garda, Italy, Sept. 2016

 

2. Huisu Jang, Younhee Lee, and Jaewook Lee, Efficient calibration and empirical study of exponential Lévy model for American options, Bachelier Finance Society 9th World Congress 2016, New York, USA, July 2016

 

3. Huisu Jang, Youngdoo Son, Younhee Lee, Jaewook Lee, Arbitrage-free Machine Learning Models for Stably Predicting American Index Options,2016 INFORMS Analytics Conference, Orlando, USA, April 10-12, 2016

 

4. Huisu Jang, Youngdoo Son, Hyunwoong Ji, Younhee Lee, Jaewook Lee, Arbitrage-free deep learning models for stably predicting American index options, Quantitative Methods in Finance 2015 Conference, Sydney, Austrailia, Dec. 15-18, 2015

 

5. Huisu Jang, Youngdoo Son, Gyusik Han, Jaewook Lee, Robust parameter estimation for the stochastic volatility model using Double Joint MCMC, Quantitative Methods in Finance 2015 Conference, Sydney, Austrailia, Dec. 15-18, 2015

 

6. Huisu Jang, Youngdoo Son, Hyunwoong Ji, and Jaewook Lee, No-arbitrage machine learning models for pricing American options, 27th European Conference on Operational Research, Glasgow, U.K., July 12-15, 2015

 

7. Saerom Park, Jaewook Lee, Kyoungok Kim and Huisu Jang, Semi-supervised Document Embedding Adjusting Local Structure for Sentiment Analysis, 11th Women in Machine Learning Workshop, Barcelona, Spain, Dec 5-10, 2016

 

8. Youngdoo Son, Gyu-Sik Han, Huisu Jang, and Jaewook Lee, Robust parameter estimation for the stochastic volatility model using Markov chain Monte Carlo, Bachelier Finance Society 8th World Cogress 2014, Brussels, Belgium, June 2014

 

 

D. Domestic Conferences

 

1. 분산장부 관리를 위한 평판기반 접근법에 관한 연구, 장희수, 2019 한국경영과학회 추계학술대회, 한국항공대학교, 서울, 2019.10.25, 구두발표

 

2. OCCLUSSION을 적용한 DOMAIN-SPECIFIC 감성 사전 자동 생성에 관한 연구, 고동형, 김현식, 이승기, 장희수, 2019 한국데이터마이닝학회 춘계학술대회, 삼성 코엑스, 서울, 2019.04.11, 구두발표

 

3. IoT시스템을 위한 DAG(Directed acyclic graph)기반의 분산 합의 알고리즘 제안, 장희수, 한국금융학회, 롯데호텔, 서울, 2018.06.01, 구두발표

 

4. 블록체인 데이터를 활용한 암호화폐 시장을 위한 예측 모형, 장희수, 한국 경영과학회 춘계공동학술대회, 현
대호텔, 경주, 2018.04.06, 구두발표

 

5. 파티클 필터링을 이용한 모수 추정 비교 연구, 장희수, 손영두, 이재욱, 한규식, 2014 대한산업공학회 한국
경영과학회 춘계공동학술대회, 벡스코, 부산, 2014.05.16-17. 포스터발표

 

6. 서포트 분할을 이용한 마코브체인 몬테카를로 알고리즘, 지현웅, 손영두, 한상우, 이수지, 박새롬, 장희수, 이

 

7. 재욱, 2013 한국경영과학회/대한산업공학회 춘계 공동학술대회, 여수, 2013.05.24~25, 포스터발표

 

8. Hadoop 과 R을 이용한 분산처리 시스템 구축 및 예제 , 한상우, 지현웅, 이수지, 박새롬, 장희수, 이재욱,
2013 한국BI데이터마이닝학회 춘계학술대회, 2013.04.05, 코엑스, 서울, 구두발표

Machine learning method using relevance vector machine, computer program implementing the same and information processing device configured to perform the same, 10-2016-0116110, September, 2016

•  A light algorithm for implementing consensus in the DAG(Directed acyclic graph)-based distributed ledger for IoT system, National Research Foundation of Korea, Principal Investigator,
2018.06-2019.05 (￦ 50,000,000)
•  Impacts of Financial Innovations in an Open Economy and Implications of Blockchain Technology, Korea Institute for International Economic Policy, 2018.10 ~ 2018.12 (￦ 7,000,000)
•  An experimental design for the establishment of a securities settlement system based on distributed ledger, Bank of Korea (Principal Investigator, 19.05.03-19.08.30).
•  Decentralized Machine Learning Framework Development, National Research Foundation of Korea, Principal Investigator, 2019.06-2022.02 (￦ 50,000,000/yr)
•  Development of Auditable Blockchain Techniques for Decentralized Finance (Defi), National Research Foundation of Korea, Principal Investigator, 2022.06-2025.02 (￦ 50,000,000/yr)
•  Time series analysis for transaction fee market, Ethereum Foundation Academic Grants, 2022 (USD 13,200.00)