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physics.soc-ph2006★ 130 cited
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…
physics.soc-ph2006
Long-term Memory and Volatility Clustering in Daily and High-frequency Price Changes
GabJin Oh, Cheol-Jun Um, Seunghwann Kim
We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data…