130 citations · 521 across the 16 of their papers we have counts for
5 papers · 1 filter
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…