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170 results on '"Jang, Hyun-Jin"'

3. Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach

Author

Jang, Hyun Jin, Lee, Kiseop, and Lee, Kyungsub

Subjects
Quantitative Finance - Trading and Market Microstructure, Quantitative Finance - Risk Management, Quantitative Finance - Statistical Finance, Statistics - Applications
Abstract

We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value-at-risk as a benchmark measure. In terms of high-frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.

Published
2020
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4. Optimal Investment, Heterogeneous Consumption and Best Time for Retirement

Author

Jang, Hyun Jin, Xu, Zuo Quan, and Zheng, Harry

Subjects
Quantitative Finance - Portfolio Management, Quantitative Finance - Risk Management
Abstract

This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optimal heterogeneous consumption strategies for a class of non-homothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all in luxury goods when the wealth is large. The optimal retirement policy is shown to be both universal, in the sense that all individuals should retire at the same level of marginal utility that is determined only by income, labor cost, discount factor as well as market parameters, and not universal, in the sense that all individuals can achieve the same marginal utility with different utility and wealth. It is also shown that individuals prefer to retire as time goes by if the marginal labor cost increases faster than that of income. The main tools used in analyzing the problem are from PDE and stochastic control theory including variational inequality and dual transformation. We finally conduct the simulation analysis for the featured model parameters to investigate practical and economic implications by providing their figures.

Published
2020

13. Optimal Investment, Heterogeneous Consumption, and Best Time for Retirement.

Author

Jang, Hyun Jin, Xu, Zuo Quan, and Zheng, Harry

Subjects
STOCHASTIC partial differential equations, STOCHASTIC control theory, ECONOMIC impact, RETIREMENT income, LUXURIES, LABOR costs, EARLY retirement, RETIREMENT
Abstract

We study an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The optimal heterogeneous consumption strategies for a class of nonhomothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all in luxury goods when the wealth is large. The optimal retirement policy is shown to be both universal, in the sense that all individuals should retire at the same level of marginal utility that is determined only by income, labor cost, discount factor as well as market parameters, and not universal, in the sense that all individuals can achieve the same marginal utility with different utility and wealth. We also show that individuals prefer to retire as time goes by if the marginal labor cost increases faster than that of income. This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optimal heterogeneous consumption strategies for a class of nonhomothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all in luxury goods when the wealth is large. The optimal retirement policy is shown to be both universal, in the sense that all individuals should retire at the same level of marginal utility that is determined only by income, labor cost, discount factor and market parameters, and not universal, in the sense that all individuals can achieve the same marginal utility with different utility and wealth. It is also shown that individuals prefer to retire as time goes by if the marginal labor cost increases faster than that of income. The main tools used in analyzing the problem are from a partial differential equation and stochastic control theory including variational inequality and dual transformation. We finally conduct the simulation analysis for the featured model parameters to investigate practical and economic implications by providing their figures. Funding: This work was supported by Hong Kong Research Grants Council General Research Fund [Grants 15202421 and 15202817], the National Research Foundation of Korea [Grant 2021R1C1C1004647], the PolyU-SDU Joint Research Center on Financial Mathematics, the CAS AMSS-PolyU Joint Laboratory of Applied Mathematics, and Hong Kong Polytechnic University, the National Natural Science Foundation of China [Grant 11971409], and the Engineering and Physical Sciences Research Council (UK) [Grant EP/V008331/1]. Supplemental Material: The online appendix is available at https://doi.org/10.1287/opre.2022.2328. [ABSTRACT FROM AUTHOR]

Published
2024
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20. Mychonastes sp. 247 Induces Apoptosis of A549 Human Lung Cancer Cells by Promoting STRA6-Mediated Reactive Oxygen Species Production.

Author

Lee, Soon, Hong, Eunmi, Yim, Kyung June, Jung, Ji Yong, Choi, Yong-Soo, Lee, Chang Soo, Jang, Hyun-Jin, and Kim, Z-Hun

Subjects
REACTIVE oxygen species, LUNG cancer, CANCER cells, NON-small-cell lung carcinoma, B cell receptors, ANTINEOPLASTIC agents
Abstract

Mychonastes sp. 247 is a newly isolated freshwater microalga. Mychonastes sp. 247 methanolic extract (ME) suppresses the growth of A549 human non-small-cell lung cancer (NSCLC) cells. However, the underlying mechanism of this anticancer effect remains unclear. The present study aimed to reveal the underlying mechanism of the anticancer effect of ME in A549 cells. The components of ME, their cytotoxicity in normal cells, and their inhibitory effect on the growth and migration of two-dimensional and three-dimensional cultured cancer cells were investigated. We also showed that ME upregulated the mRNA levels of signaling receptors and transporters of retinol (STRA6) and cytochrome P450 family 26 subfamily B member 1, and increased the protein expression of phosphorylated c-Jun N-terminal kinase, B-cell lymphoma protein 2/(Bcl-2)-associated X (Bcl-2/Bax), and cleaved caspase-3. Moreover, co-treatment with N-acetyl-L-cysteine reversed the ME-induced changes in the levels of STRA6 and reactive oxygen species (ROS), confirming their role in the ME-mediated anticancer effect. To the best of our knowledge, this is the first study elucidating the pathway by which ME induces anticancer effects in lung cancer cells. Our results reveal that ME induces NSCLC apoptosis by regulating ROS levels via the STRA6 pathway, suggesting ME as a prospective anticancer agent for lung cancer treatment. [ABSTRACT FROM AUTHOR]

Published
2023
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