Seok Young Hong

London, Dec. 2025

I am an Assistant Professor of Economics and Data Science at Nanyang Technological University, Singapore.
I studied at the University of Cambridge, where I completed Mathematical Tripos Part III followed by a PhD in Mathematics in 2018
(Advisor: Oliver Linton). Prior to that, I studied mathematics and statistics at Imperial College London. My research focuses on the statistical analysis of large-scale time series data, with particular applications in finance.
I primarily draw on nonparametric methods, high-frequency econometrics, and statistical machine learning.

Research

• Unified Inference for Predictive Mean and Quantile Regressions via Empirical Likelihood
  (with Zongwu Cai, Yifeng Chen and Daniel Tsvetanov) [Paper] (2026)
  R&R at Journal of Econometrics

• Volatility Forecasting Factors
  (with Marco Cinquetti, Ingmar Nolte and Sandra Nolte) [Paper] (2026)
  R&R at Journal of Business & Economic Statistics

• Jumps versus bursts: distinguishing sources of extreme risk in financial markets
  (with Xiaolu Zhao and Oliver Linton) [Paper] (2026+)
  Management Science, forthcoming

• PINGS-X: Physics-Informed Normalized Gaussian Splatting with Axes Alignment
  (with Sun Jo, Jehyeong Hong et al.; co-first author) [Paper] [Python Code] (2026)
  Proceedings of the Association for the Advancement of Artificial Intelligence (AAAI) 40(7)

• Volatility estimation and forecasts based on price durations
  (with Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao). [Paper] (2023)
  Journal of Financial Econometrics 21

• Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
  (with Oliver Linton). Awarded the Smith/Rayleigh-Knight Prize on an earlier version. [Paper] (2020)
  Journal of Econometrics 219

• Estimating the Quadratic Covariation Matrix for Asynchronously observed high frequency stock returns
   corrupted by Additive Measurement Error (with Sujin Park and Oliver Linton). [Paper] (2016)
  Journal of Econometrics 191

• An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability
  (with Hui Jun Zhang and Oliver Linton). Halbert White Jr. Memorial Invited Paper. [Paper] (2017)
  Journal of Financial Econometrics 15

• Small Deviations in L2-norm for Gaussian Dependent Sequences
  (with Mikhail Lifshits and Alexander Nazarov). [Paper] (2016)
  Electronic Communications in Probability 21

Teaching

At NTU, I currently teach MH4519 Financial Econometrics, HE4046 Big Data Analytics in Economics and Finance,
and co-teach HE7002 PhD Econometrics I.
Previously, I have taught the following modules:

⁃ Econometrics (PhD; Nottingham & Lancaster)
⁃ Financial Stochastic Processes (MSc; Lancaster)
⁃ Research Methods for Risk Management (MSc; Nottingham)
⁃ Introduction to Quantitative Methods (MSc; Lancaster)
⁃ Derivative Pricing (MSc; Lancaster)
⁃ Foundations of Financial Markets (UG/MSc; Lancaster)
⁃ Supervisions for Mathematics and Statistics for Economists (UG; Cambridge)

Last Updated: August 2026