130 citations · 565 across the 15 of their papers we have counts for
15 papers
Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
Cheoljun Eom, Taisei Kaizoji, Enrico Scalas
This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of…
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…
The effect of a market factor on information flow between stocks using minimal spanning tree
Cheoljun Eom, Okyu Kwon, Woo-Sung Jung +1
We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of empl…
The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
Cheoljun Eom, Jongwon Park, Woo-Sung Jung +2
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of…
Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
Cheoljun Eom, Woo-Sung Jung, Taisei Kaizoji +1
In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation ma…
Statistical properties of information flow in financial time series
Cheoljun Eom, Okyu Kwon, Woo-Sung Jung
This paper has been withdrawn by the authors.