130 citations · 347 across the 6 of their papers we have counts for
8 papers
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…
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…
Deterministic Factors of Stock Networks based on Cross-correlation in Financial Market
Cheoljun Eom, Gabjin Oh, Seunghwan Kim
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual sto…
Market Efficiency in Foreign Exchange Markets
Gabjin Oh, Seunghwan Kim, Cheoljun Eom
We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the gl…