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Kiseop Lee

As seen in: MDPI, Taylor & Francis Online
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Articles

Attention-based reading, highlighting, and forecasting of the limit order book

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By Jiwon Jung, Kiseop Lee
| Taylor & Francis Online
Advanced search Quantitative Finance Latest Articles Submit an article Journal homepage Full Article Figures & data References Supplemental Citations Metrics Reprints & Permissions Read this article /doi/full/10.1080/14697688.2025.2522914?needAccess=true Abstract Managing high-frequency data in a limit order book (LOB) is complex due to its high dimensionality, irregular timing, and complex spatiotemporal dependencies across price levels.
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A Diversification Framework for Multiple Pairs Trading Strategies

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By Tim Leung, Kiseop Lee, Boming Ning
| MDPI
1. Introduction Pairs trading is a widely used strategy for traders and fund managers. It involves taking simultaneous positions in two correlated assets and speculating on the path behavior of the resulting spread. While it is difficult to fully model the dynamics of a single asset, a pair of assets or securities may exhibit mean reverting behavior that can be better captured by statistical models.
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