130 citations · 521 across the 16 of their papers we have counts for
16 papers
Nonlinear Evidence of Investor Heterogeneity: Retail Cash Flows as Drivers of Market Dynamics
Gabjin Oh
This study measures the long memory of investor-segregated cash flows within the Korean equity market from 2015 to 2024. Applying detrended fluctuation analysis (DFA) to BUY, SELL,…
Trading characteristics of member firms on the Korea Exchange
Min-Young Lee, Woo-Sung Jung, Gabjin Oh
In this paper, we study the characteristics of the member firms on the Korea Exchange. The member firms intermediate between the market participants and the exchange, and all the p…
Understanding Financial Market States Using Artificial Double Auction Market
Kyubin Yim, Gabjin Oh, Seunghwan Kim
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these…
Fractality of profit landscapes and validation of time series models for stock prices
Il Gu Yi, Gabjin Oh, Beom Jun Kim
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. T…
Heavy-tail driven by memory
Jongwook Kim, Gabjin Oh
We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is a…
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…