Seok Young Hong
Nanyang Technological University
SSS (Econ) and SPMS (Math)Singapore 639818

CV date:Email:
Homepage:

1 July 2024
seokyoung.hong [at] ntu.edu.sg
https://sy-hong.com

EMPLOYMENT HISTORY
Assistant Professor of Economics & Data Science
Associate Professor of Finance
Assistant Professor of FinanceNanyang Technological University
Lancaster University, UK
University of Nottingham, UK

2023 −
2020 − 2023
2018 − 2020EDUCATION
University of Cambridge
PhD in Pure Mathematics and Mathematical Statistics
Thesis : “Nonparametric Methods in Financial Time Series Analysis”
Advisor: Professor Oliver Linton FBA
Honours: The Smith/Rayleigh-Knight Prize, Faculty of Mathematics

2018

MASt. in Mathematical Statistics
Mathematical Tripos, Part III
Thesis/Part III Essay: “Analysis of a Large and Complex Dataset, a Copula approach", Distinction

2012

Imperial College London
BSc with First Class Honours in Mathematics with Statistics for Finance& Associateship of the Royal College of Science (ARCS)

2011

RESEARCH PAPERS• Volatility estimation and forecasts based on price durations(with Ingmar Nolte, Stephen Taylor and Xiaolu Zhao).

Journal of Financial Econometrics, 21, (2023)• Nonparametric Estimation of Infinite Order Regression and Its Applications to the Risk-Return Tradeoff(with Oliver Linton).
Journal of Econometrics, 219, (2020)• An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability(with Hui Jun Zhang and Oliver Linton).
Journal of Financial Econometrics, 15, (2017)• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted
by additive measurement error (with Sujin Park and Oliver Linton). Journal of Econometrics, 191, (2016)• Small deviations in 𝐿 2 -norm for Gaussian dependent sequences(with Mikhail Lifshits and Alexander Nazarov). Eleclectronic Communications in Probability, 21, (2016)1• Comparing factor models with conditioning information(with Shamim Ahmed and Daniel Tsvetanov)Working Paper (2024)• Separate noise and jumps from tick data: an endogenous thresholding approach(with Xiaolu Zhao and Oliver Linton).

Working paper (2024)• Unified Inference for Long-Horizon Predictive Regressions including mildly integrated and explosive cases(with Daniel Tsvetanov).
Working Paper (2024)• Realized Factor Volatility(with Marco Cinquetti, Ingmar Nolte, and Sandra Nolte).

Working Paper (2024)• Toward a unified estimation of predictive regressions in a panel data setting(with Daniel Tsvetanov).

Working Paper (2024)

PROFESSIONAL EXPERIENCE
Referee Service:

Teaching:

Journal of Econometrics × 7, Econometric Theory, Journal of Time Series Analysis
Computational Statistics and Data Analysis, European Journal of Finance, Springer
The Financial Review, Economic Modelling, Electronic Journal of Statistics.

Lecturer, Nanyang Technological University** Average Teaching Evaluation: 4.74 / 5.00
2024 − 2024

- Big Data in Economics and Finance (BSc)- Financial Econometrics (BSc)
Lecturer, Lancaster University** Average Teaching Evaluation: 4.65 / 5.00
- Financial Markets (BSc/MSc)- Introduction to Quantitative Methods (MSc)- Derivative Pricing (MSc)- Financial Stochastic Processes (MSc)- Econometric Topics in Accounting and Finance (PhD)

2020 − 2023

Lecturer, University of Nottingham ** Average Teaching Evaluation: 4.87 / 5.00
- Topics in Advanced Econometrics II (PhD)- Research Methods for Risk Management (MSc)2019 − 2020

Tutor for small group tutorials, University of Nottingham- Tutorial sessions for Corporate Finance (MSc/UG 3rd year)- Tutotial sessions for Risk, Information & Insurance (UG 3rd year)2018 − 2019

Tutor for Supervisions, Faculty of Economics, University of Cambridge
2013 − 2017
- Mathematics and Statistics for Economists(UG 2nd year; St John’s College, Queens’ College, Hughes Hall, Newnham College)

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Professional Service:
MSc Dissertation Advisor × 20, University of Nottingham (2019 − 2020)
PhD Confirmation Panel Chair, Lancaster University Management School (2020)
External Examiner for the PhD viva voce, Royal Holloway, University of London (2020)
Director of the MSc in Quantitative Finance, Lancaster University Management School (2021 − )External Examiner for the PhD viva voce, Oxford University (2022)

Invited Talks & Presentations (2018 - 2024):
Cambridge University: Big Data in Financial Markets Conference;
The Alan Turing Institute, London: Theory and Algorithms for Data Science (TADS) Seminar;
Queen Mary University of London, School of Economics and Finance;
Lancaster University Management School;
University of Exeter Business School;
KEA Collaborative Symposium in Economics, Sungkyunkwan University;
The National Institute for Mathematical Sciences, Republic of Korea;
University of East Anglia, Norwich Business School;
University of Surrey, School of Economics;
Computational and Financial Econometrics conference, King’s College London;
EcoSta: International Conference on Econometrics and Statistics, Yonsei University;
Asian Meeting of the Econometric Society in China, The Chinese University of Hong Kong;
Workshop on Volatility, Bursts and Jumps, Lancaster University Management School;
Australasian Meeting of the Econometric Society, Brisbane, University of Queensland;International Associations for Applied Econometrics (IAAE), King’s College London;
Hanyang University;
Asian Meeting of the Econometric Society in Japan, University of Tokyo & Keio University;
Royal Holloway University of London, School of Economics;
Cambridge University, Judge Business School;
Nanyang Technological University, Singapore, School of Social Sciences;
International Symposium on Econometric Theory and Applications (SETA), SMU Singapore;
EcoSta: International Conference on Econometrics and Statistics, Waseda University, Japan;
Asian Meeting of the Econometric Society in East and Southeast Asia, NTU Singapore;
CU-NTU-TU Trilateral Workshop in Economics, Thammasat University, Thailand;
The Chinese University of Hong Kong, Department of Economics, Hong Kong;
ICTSE Conference in honor of Professor Shigeyuki Hamori, Kobe University, Japan
Frontiers of Factor Modelling Conference, Lancaster University, United Kingdom;
Symposium on Economics and Finance in the Asia-Pacific, Hanyang University, Korea (Scheduled)

PERSONAL INFORMATION
Nationality: South Korean
Languages: Korean, English
Computing Skills: Matlab, Python, LATEX, Maple, Stata, R
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REFERENCES
Professor Oliver Linton
Faculty of Economics
University of Cambridge
Sidgwick Ave, Cambridge
Email : obl20@cam.ac.uk

Professor Alexey Onatski
Faculty of Economics
University of Cambridge
Sidgwick Ave, Cambridge
Email : ao319@cam.ac.uk

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Professor Alessio Sancetta
Department of Economics
Royal Holloway, University of London
Egham, Surrey
Email: Alessio.Sancetta@rhul.ac.uk