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6 papers · 1 filter
Statistical Properties of Cross-Correlation in the Korean Stock Market
Gabjin Oh, Cheoljun Eom, Fengzhong Wang +3
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how…
Effects of time dependency and efficiency on information flow in financial markets
Cheoljun Eom, Woo-Sung Jung, Sunghoon Choi +2
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were conside…
Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets
Cheoljun Eom, Sunghoon Choi, Gabjin Oh +1
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement…
Topological Properties of Stock Networks Based on Random Matrix Theory in Financial Time Series
Cheoljun Eom, Gapjin Oh, Hawoong Jeong +1
We investigated the topological properties of stock networks through a comparison of the original stock network with the estimated stock network from the correlation matrix created…
Relationship between degree of efficiency and prediction in stock price changes
Cheoljun Eom, Gabjin Oh, Woo-Sung Jung
This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock…
Deterministic Factors of Stock Networks based on Cross-correlation in Financial Market
Cheoljun Eom, Gabjin Oh, Seunghwan Kim
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual sto…