Korea Exchange Holds 12th 'KRX Securities and Derivatives Excellent Thesis Awards' Ceremony

Professor Choi Byung-wook of Konkuk University Awarded Grand Prize

[Asia Economy Reporter Myunghwan Lee] The Korea Exchange held the 12th 'KRX Securities and Derivatives Excellent Thesis Award' ceremony and announced on the 21st that it selected Professor Choi Byung-wook of Konkuk University as the grand prize winner.

Professor Choi, who received the grand prize, demonstrated in his thesis titled "Are Foreigners' High-Frequency IOC (Immediate-Or-Cancel) Orders Information-Based Trading?" that 56% of the executed volume in the KOSPI 200 options market was executed by IOC orders, and that 99.7% of IOC orders were placed by foreigners. Furthermore, he revealed that foreigners' IOC orders are based not on prior information but on order flow analysis algorithms.

Professor Kim Sol of Hankuk University of Foreign Studies, who won the excellence award, verified various option pricing models in terms of price determination and hedging (risk avoidance) performance in his thesis "Optimal Option Pricing Model in the KOSPI 200 Options Market," proving that the simplest model shows superior performance in price prediction and hedging.

The thesis "Performance Analysis of Liquidity Providers (LP) in the Korean Stock Market," co-authored by Professor Jung Jae-man of Soongsil University and Professor Lee Woo-baek of Korea National Open University, received the encouragement award.

The judging for this award ceremony was conducted among excellent theses submitted as part of the "Securities and Derivatives Academic Research Support Project."

A Korea Exchange official stated, "This excellent thesis award is expected to raise interest in academia and industry, contribute to the development of the securities and derivatives markets, promote theoretical advancement in the capital market, and simultaneously solidify the practical foundation," adding, "We plan to actively utilize the content of the excellent theses for new product development and institutional improvements."

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