130 citations · 521 across the 16 of their papers we have counts for
10 papers · 1 filter
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…
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…
A Multifractal Analysis of Asian Foreign Exchange Markets
Gabjin Oh, Cheoljun Eom, Shlomo Havlin +4
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find th…
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…
Statistical Investigation of Connected Structures of Stock Networks in Financial Time Series
Cheoljun Eom, Gabjin Oh, Seunghwan Kim
In this study, we have investigated factors of determination which can affect the connected structure of a stock network. The representative index for topological properties of a s…
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…