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Jae Wook Song
Jae Wook Song
Assistant Professor of Industrial Engineering, Hanyang University
Verified email at hanyang.ac.kr - Homepage
Title
Cited by
Cited by
Year
Predicting the direction of US stock prices using effective transfer entropy and machine learning techniques
S Kim, S Ku, W Chang, JW Song
IEEE Access 8, 111660-111682, 2020
712020
Cluster analysis on the structure of the cryptocurrency market via Bitcoin-Ethereum filtering
JY Song, W Chang, JW Song
Physica A Statistical Mechanics and its Applications 527, 121339, 2019
512019
Asymmetric multi-fractality in the US stock indices using index-based model of A-MFDFA
M Lee, JW Song, JH Park, W Chang
Chaos, Solitons & Fractals 97, 28-38, 2017
472017
Application of instance-based entropy fuzzy support vector machine in peer-to-peer lending investment decision
P Cho, W Chang, JW Song
IEEE Access 7, 16925-16939, 2019
392019
Asymmetric market efficiency using the index-based asymmetric-MFDFA
M Lee, JW Song, S Kim, W Chang
Physica A: Statistical Mechanics and its Applications 512, 1278-1294, 2018
292018
Time-varying causal network of the Korean financial system based on firm-specific risk premiums
JW Song, B Ko, P Cho, W Chang
Physica A: Statistical Mechanics and its Applications 458, 287-302, 2016
212016
Multifractal value at risk model
H Lee, JW Song, W Chang
Physica A: Statistical Mechanics and its Applications 451, 113-122, 2016
212016
Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree
JW Song, B Ko, W Chang
Physica A: Statistical Mechanics and its Applications 491, 289-304, 2018
152018
Crash forecasting in the Korean stock market based on the log-periodic structure and pattern recognition
B Ko, JW Song, W Chang
Physica A: Statistical Mechanics and its Applications 492, 308-323, 2018
142018
Fractal structure in the S&P500: A correlation-based threshold network approach
S Ku, C Lee, W Chang, JW Song
Chaos, Solitons & Fractals 137, 109848, 2020
132020
Managing Bubbles in the Korean Real Estate Market: A Real Options Framework
K Kim, JW Song
Sustainability 10 (8), 2875, 2018
92018
Unsupervised change point detection and trend prediction for financial time-series using a new cusum-based approach
K Kim, JH Park, M Lee, JW Song
IEEE Access 10, 34690-34705, 2022
82022
Link prediction in the Granger causality network of the global currency market
JH Park, W Chang, JW Song
Physica A: Statistical Mechanics and its Applications 553, 124668, 2020
82020
Simulation of financial market via nonlinear Ising model
B Ko, JW Song, W Chang
International Journal of Modern Physics C 27 (04), 1650038, 2016
82016
Equity research report-driven investment strategy in Korea using binary classification on stock price direction
P Cho, JH Park, JW Song
IEEE Access 9, 46364-46373, 2021
72021
Analyses on volatility clustering in financial time-series using clustering indices, asymmetry, and visibility graph
K Kim, JW Song
IEEE Access 8, 208779-208795, 2020
72020
Estimation and forecasting of sovereign credit rating migration based on regime switching markov chain
SY Oh, JW Song, W Chang, M Lee
IEEE Access 7, 115317-115330, 2019
62019
Hierarchical risk parity using security selection based on peripheral assets of correlation-based minimum spanning trees
Y Cho, JW Song
Finance Research Letters 53, 103608, 2023
12023
Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter
M Lee, Y Cho, SE Ock, JW Song
Fractal and Fractional 7 (1), 85, 2023
12023
Stock market network based on bi-dimensional histogram and autoencoder
S Choi, D Gwak, JW Song, W Chang
Intelligent Data Analysis 26 (3), 723-750, 2022
12022
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