117 citations · 132 across the 2 of their papers we have counts for
2 papers
q-fin.ST2008★ 15 cited
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…
q-fin.ST2007★ 117 cited
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…