Financial Engineering Lab


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Dr. Seo had worked on financial derivatives market as a quant and trader before being appointed as a professor of business administration at UNIST in 2012. The research is focused on giving solutions to the financial market based on his experiences. He published papers on financial market volatility and liquidity. He is also in the process of developing a model to stabilize the financial market.

Recently, he was interested in energy trading and founded ”Energy Commodity Trading and Financial Engineering” program and “Center for International Energy Trading”. He is also interested in blockchain technology and has established ”UNIST Blockchain Research Center” and serves as the director. Financial market analysis and forecasting using AI techniques is one of his important research topics as well.

서병기 교수는 2012년 UNIST 경영학부에 부임하기 전까지 한국 금융 파생상품 시장에서 퀀트와 트레이더로 일해왔다. 그러한 경험을 바탕으로 금융시장에 솔루션을 제공하는 연구를 하고 있다. 그는 주로 금융 시장 변동성이나 유동성에 대한 논문을 쓰고 있으며, 금융시장을 안정화 시키기 위한 모형을 개발하는 연구도 진행하고 있다.
최근, 에너지 트레이딩에도 관심을 가져 "에너지상품거래 및 금융공학" 프로그램과 "국제에너지트레이딩 센터"를 설립하였다. 또, 블록체인과 관련된 "UNIST 블록체인센터" 도 설립하여 센터장으로 역임하였다. 인공지능 기법을 활용한 금융시장 분석과 예측 또한 중요한 연구주제중 하나이다.


Financial Engineering, Market Microstructure


Energy Trading, Fintech, Artificial Intelligent

Research Publications

Monetary policy rate expectation and energy prices during the FOMC announcement period (with Hyeonung Jang), Finance Research Letters 32 (2020), 101093.
Hyperbolic normal stochastic volatility model (with Jaehyuk Choi, Chenru Liu), Journal of Futures Markets 39 (2019), 186-204.
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (with Kyungsub Lee), Journal of Economic Dynamics & Control 79 (2017), 154–183.
Marked Hawkes process modeling of price dynamics and volatility estimation (with Kyungsub Lee), Journal of Empirical Finance 40 (2017), 174–200.