Jaehyung Choi

SUNY at Stony Brook

Department of Applied Mathematics and Statistics

Quantitative Finance Program

Stony Brook, NY 11794

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 41,534

SSRN RANKINGS

Top 41,534

in Total Papers Downloads

748

CITATIONS

1

Scholarly Papers (5)

1.

Physical Approach to Price Momentum and Its Application to Momentum Strategy

Physica A: Statistical Mechanics and its Applications 415 (2014), pp. 61-72
Number of pages: 23 Posted: 14 Aug 2012 Last Revised: 21 Aug 2014
Jaehyung Choi
SUNY at Stony Brook
Downloads 240 (90,197)

Abstract:

price momentum, momentum/contrarian strategies, alternative stock selection rule

2.

Maximum Drawdown, Recovery and Momentum

Number of pages: 28 Posted: 01 Apr 2014 Last Revised: 01 Apr 2015
Jaehyung Choi
SUNY at Stony Brook
Downloads 229 (78,866)

Abstract:

momentum, mean-reversion, maximum drawdown, recovery, alternative stock selection rules

3.

Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution

Journal of Banking and Finance, Vol. 58, pp.194-213, 2015
Number of pages: 38 Posted: 25 Mar 2014 Last Revised: 08 Jun 2015
Jaehyung Choi, Young Shin Kim and Ivan Mitov
SUNY at Stony Brook, University of Karlsruhe and Finanalytica
Downloads 90 (196,676)

Abstract:

momentum strategy, reward-risk measure, classical tempered stable distribution

4.

Momentum Universe Shrinkage Effect in Price Momentum

Number of pages: 38 Posted: 28 Nov 2012
Jaehyung Choi, Sungsoo Choi and Wonseok Kang
SUNY at Stony Brook, Q&Q Investment Group and Q&Q Investment Group
Downloads 46 (301,415)

Abstract:

momentum strategy, ranking criterion, momentum universe shrinkage

5.

Spontaneous Symmetry Breaking of Arbitrage

Physica A: Statistical Mechanics and its Applications 391 (2012), pp. 3206-3218
Number of pages: 22 Posted: 06 Jan 2015
Jaehyung Choi
SUNY at Stony Brook
Downloads 13 (430,211)
Citation 1

Abstract:

spontaneous symmetry breaking, arbitrage modeling, momentum strategy