164 citations · 295 across the 4 of their papers we have counts for
4 papers
Information flow between stock indices
Okyu Kwon, Jae-Suk Yang
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In co…
Information flow between composite stock index and individual stocks
Okyu Kwon, Jae-Suk Yang
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stoc…
The market efficiency in the stock markets
Jae-Suk Yang, Wooseop Kwak, Taisei Kaizoji +1
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability d…
Minimum Entropy Density Method for the Time Series Analysis
Jeong Won Lee, Joongwoo Brian Park, Hang-Hyun Jo +2
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (…