296 citations · 1.1k across the 15 of their papers we have counts for
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q-fin.ST2010★ 43 cited
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…
q-fin.TR2010★ 76 cited
Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin +1
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatilit…