자료실
2025 APAF International Conference
작성자 한국금융공학회
등록일2025.07.07
조회수654
Session 1_1.ZHANG_(Abstract).docx
Session 1_2.TATOMIR_(Abstract).docx
Session 1_3.SONG.pdf
Session 2_1.PARK.pdf
Session 2_3.WU_(Abstract).docx
Session 2_4.LIN_(Abstract).docx
Session 3_1.CHOI.pdf
Session 3_3.CHUNAG.docx
Session 3_3.CHUNAG.docx
Session 3_4.KIM.pdf
Session 4_1.LO.pdf
Session 4_2.WENG.pdf
Session 4_3.KIM_(Abstract).docx
Session 4_4.TATOMIR_(Abstract).docx
Session 5_1.MAKOTO.pdf
Session 5_2.DOH.pdf
Session 5_3.TAIKI_(Abstract).pdf
Session 5_4.HONG.hwp
Session 6_2.SHIN.pdf
Session 6_4.TONG_(Abstract).docx
Session GFRC_2.LEE_(Abstract).docx
Session GFRC_4.JAHAN_(Abstract).docx
Session Online_1.CHOI.pdf
Session OnLine_2.KIM.pdf
Session 2_2.LEE_(Abstract).docx
| Presenter | Affiliation | Paper Title |
| Keynote I | ||
| Robert Webb | University of Virginia | Trading and AI |
| Session 1 (10:30-12:30): Macro-Finance and Behavioral Dynamics (Chair: Pei-Shih Weng) | ||
| Zhang Xinmiao* | University of Ritsumeikan | Stochastic Approach to Integrated Climate-Change Macroeconomies in Continuous Time |
| Marija Tatomir* | Keio University | The Impact of Trade Policy Uncertainty on Forex Herding: Evidence from the Trump Tariff Announcements |
| Jae Wook Song* | Hanyang University | Learning Stock Price Signals From Candlestick Chart Via Vision Transformer |
| Kazuhiro Takino* | NUCB Business School | Determining Optimal Default Funds in Nash Equilibrium |
| Session 2 (10:30-12:30): Artificial Intelligence and Financial Markets (Chair: Takeaki Kariya) | ||
| Sungwoo Park* | Hanyang Univeristy AI Research Center, Shinhan Bank | Can ChatGPT Forecast Returns in the Korean Stock Market? Multi-Dimensional Evidence from News-Based Long-Short Strategies |
| TaeHoon Lee* | Pukyong National University | Uncovering Hidden Market Patterns Across S&P 500 Sectors Using Genetic Algorithm-Optimized Echo State Networks |
| Wu Jie* | Zhejiang Shuren University | Impact of Artificial Intelligence on Profitability: Evidence from Chinese A-Share Listed Firms in the Medical and Elderly Care Industry |
| Lin Shengsheng* | Zhejiang Shuren University | Impact of AI Digitalization on the Innovative Performance of Supply Chain Enterprises Listed on the A-Shares Marke |
| Session 3 (10:30-12:30): Derivatives and Market Dynamics (Chair: Yong Hyun Shin) | ||
| Myeongsu Choi* | Hanyang University Korea Development Bank | Forecasting Implied Volatility Surface: Integrating Macroeconomic Data into Option Pricing Models |
| Yuki Sato* | Kyoto University | How Do the Diffusive Price Dynamics Arise from the Persistent Market Order Flow? |
| Yi-Wei Chuang* | National Kaohsiung University of Science and Technology | Gambling Preferences and Index Option Returns- Evidence from the Taiwanese Options Market |
| On-line Session (10:30-12:30): Behavior and Structure in Modern Financial Markets (Chair: Hyeongjun Kim) | ||
| Soon Hyeok Choi* | Rochester Institute of Technology | Is the Current Bull Market a Bubble? An Empirical Investigation |
| Hyeonjun Kim | SKKU GFRC | Resurrecting pairs trading |
| Yeonchan Kang | SKKU GFRC | Dynamic factor timing |
| Chang Suk Bae | Tulane University | Board as Financial Intermediary: Evidence from Board-Interlocking Firms in the Credit Market |
| Ingul Baek* | Kongju National University | Business Cycles in Emerging Countries: The Role of Nonlinearity in the Financial-Friction Model |
| Session 4 (13:30-15:30): Corporate Behavior and Financial Reporting (Chair: Jangwoo Lee) | ||
| Sheng-Yi Lo* | National Sun-Yat San University | Dividend Signaling and Non-Gaap Earnings |
| Pei-Shih Weng* | National Sun-Yat San University | External Information Environment and Non-GAAP Reporting: Insights from Options Markets |
| Won Yong Kim* | Augsburg University | CEO Compensation and Misery Index |
| Marija Tatomir* | Keio University | Predicting Bequest Behavior: The Role of Subjective Isolation and Financial Status |
| Session 5 (13:30-15:30): Asset Pricing, Trading Strategy, and Market Microstructure (Chair: Wu Jie) | ||
| Makoto Shimoshimizu* | Tokyo University of Science | Continuous-Time Execution Strategy and Utility-Based Statistical Arbitrage in a Markovian Environment |
| Hyun Soo Doh* | Hanyang University | Quantifying Informational Illiquidity in Corporate Bond Markets |
| Taiki Wakatsuki* | Kyoto University | Liquidity Analysis of Market Microstructure Models Using Kinetic Theory |
| Changsoo Hong* | NICE Pricing and Information Inc. | Crypto Asset Valuation: Frameworks and Limits |
| Session 6 (13:30-15:30): ESG Finance and Green Innovation (Chair: Bong-Gyu Jang) | ||
| Yi Huang* | Kyungpook National University | Does China's Green Finance Reform Promote Green Innovation among Credit-Constrained Firms? Evidence from a Triple Difference Analysis |
| Jewon Shin* | Pennsylvania State University | Mandatory Disclosure and ESG Profiles: Evidence from the Smaller Reporting Company Rule |
| Takeaki Kariya* | Hitotsubashi University | Pricing Individual GBs for Asset Valuation in ALM and Credit Risk of CBs |
| Tong Yuanuan* | Zhejiang Shuren University | How Smart Innovation Shapes Stock Prices: Evidence from China's A-Share New Energy Vehicle Industry |
| GFRC Session (13:30-15:30): (Chair: Doojin Ryu) | ||
| Kiseop Lee* | Purdue University | Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book |
| Geul Lee* | Sungkyunkwan University | State-Dependent Relationship between Cryptocurrency Returns and Credit Spreads |
| Alexander Webb* | University of Wollongong | Trading Trouble |
| Fariha Jahan* | SKKU GFRC | Geopolitical Proximity and Corporate Cash Behavior |
| Keynote II (16:00-16:30) | ||
| Yuji Yamada | University of Tsukuba | Derivatives for Practical Risk and Contract Design |
| Special Symposium (16:30-17:30): Geopolitics, Global Finance, and National Strategy (Chair: Woojin Kim) | ||
| Sooyoung Song | Chung-Ang University | Protection of Basic (Key) Industries versus Contribution of Economic Benefit in terms of the PEF |
| Young-Han Kim | Sungkyunkwan University | Economic Shocks from Geopolitical Uncertainties under the Second Trump Administration: Causes and Implications |
| Juyoung Yang | Korea Development Institute | The dynamics of global sovereign debt market and its implication to Korea |
| Soon Goo Ahn | Busan Finance Center | Toward a Global Financial Center: The Importance of Offshore Financing and Prospects for Busan |