66 citations · 219 across the 8 of their papers we have counts for
10 papers
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…
Market bubbles and crashes
T. Kaizoji, D. Sornette
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset pri…
Volatility return intervals analysis of the Japanese market
Woo-Sung Jung, Fengzhong Wang, Shlomo Havlin +3
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold for the Japanese stock market using daily and intraday data s…
Group dynamics of the Japanese market
Woo-Sung Jung, Okyu Kwon, Fengzhong Wang +3
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping…
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…
Waiting times between orders and trades in double-auction markets
Enrico Scalas, Taisei Kaizoji, Michael Kirchler +2
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirica…