130 citations · 350 across the 9 of their papers we have counts for
7 papers · 1 filter
Statistical properties of information flow in financial time series
Cheoljun Eom, Okyu Kwon, Woo-Sung Jung
This paper has been withdrawn by the authors.
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…
Measuring Volatility Clustering in Stock Markets
Gabjin Oh, Seunghwan Kim, Cheoljun Eom +1
We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of us…
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…