The research group of Jin Hyuk Choi, an Associate Professor in the Department of Mathematical Sciences at UNIST, focuses on the mathematical analysis of financial markets, especially those with asymmetric information and market frictions. Research investigates dynamic equilibrium models, such as the Kyle and Radner frameworks, to understand how trading constraints, transaction costs, and search frictions affect price formation and market efficiency. A central theme is the interplay between information structure, strategic interaction, and liquidity in continuous time settings. The group also explores related problems in contract theory, delegated information acquisition, and dynamic games in cybersecurity.

UNIST 수학과학부 최진혁 교수의 연구 그룹은 비대칭 정보 및 시장 마찰이 존재하는 금융 시장의 수학적 분석에 중점을 둔다. 주요 연구는 거래 제약, 거래 비용 및 탐색 마찰이 가격 형성과 시장 효율성에 미치는 영향을 이해하기 위해 Kyle 및 Radner 프레임워크와 같은 동적 균형 모델을 조사한다. 주요 연구 주제는 지속 시간 설정에서 정보 구조, 전략적 상호 작용 및 유동성 간의 상호 작용이다. 계약 이론, 위임된 정보 획득 및 사이버 보안의 동적 게임 관련 문제도 연구한다.

On the structure and existence of linear equilibria with a constrained trader

Unified asymptotics for investment under illiquidity: transaction costs and search frictions

Radner equilibrium with population growth

A multi-agent targeted trading equilibrium with transaction costs

Trading constraints in continuous-time Kyle models

Price impact in Nash equilibria

Optimal investment in illiquid market with search frictions and transaction costs

Delegation of information acquisition, information asymmetry, and outside option

Implications of false alarms in dynamic games on cyber-security

Security defense against long-term and stealthy cyberattacks

Endogenous noise trackers in a Radner equilibrium

Learning about latent dynamic trading demand

A reputation game on cyber-security and cyber-risk calibration

Equilibrium effects of Intraday Order-Splitting Benchmarks

Optimal Contract for Outsourcing Information Acquisition

Optimal investment/consumption with liquid and illiquid assets

Information and trading targets in a dynamic market equilibrium

Taylor approximation of incomplete Radner equilibrium models

Asymptotic analysis of Merton's problem with transaction costs

Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs

Equilibrium effects of intraday order-splitting benchmarks

Optimal consumption and investment with liquid and illiquid assets

Asymptotic analysis for Merton's problem with transaction costs in power utility case

Optimal investment in an illiquid market with search frictions and transaction costs

Endogenous noise trackers in a radner equilibrium

Optimal contract for outsourcing information acquisition

Unified asymptotics for investment under illiquidity: Transaction costs and search frictions

Jin Hyuk Choi

Associate Professor

Jin Hyuk Choi Lab

교수님 소개

최진혁

연구실 소개

연구실 키워드

알럼나이가 간 회사

연구실 지원 방법

대우 조건

연도별 논문 인용수

저널 & 학회 논문 출판 수

연구실 논문 목록

On the structure and existence of linear equilibria with a constrained trader

Unified asymptotics for investment under illiquidity: transaction costs and search frictions

Radner equilibrium with population growth

연구실 보유 특허

대학별 입시끈

우리 연구실 모집

교수님 소개

최진혁

연구실 키워드

알럼나이가 간 회사

연구실 지원 방법

대우 조건

연도별 논문 인용수

저널 & 학회 논문 출판 수

연구실 논문 목록

On the structure and existence of linear equilibria with a constrained trader

Unified asymptotics for investment under illiquidity: transaction costs and search frictions

Radner equilibrium with population growth

연구실 보유 특허

최근 3년간 연구실적 높은 연구실

대학별 입시끈

우리 연구실 모집