130 citations · 179 across the 5 of their papers we have counts for
7 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…
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…
Topological Properties of Stock Networks Based on Random Matrix Theory in Financial Time Series
Cheoljun Eom, Gapjin Oh, Hawoong Jeong +1
We investigated the topological properties of stock networks through a comparison of the original stock network with the estimated stock network from the correlation matrix created…
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…
Statistical Properties of the Returns of Stock Prices of International Markets
GabJin Oh, Cheol-Jun Um, Seunghwan Kim
We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation meth…