130 citations · 384 across the 13 of their papers we have counts for
9 papers · 1 filter
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…
The effect of a market factor on information flow between stocks using minimal spanning tree
Cheoljun Eom, Okyu Kwon, Woo-Sung Jung +1
We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of empl…
Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
Cheoljun Eom, Woo-Sung Jung, Taisei Kaizoji +1
In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation ma…
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…
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…