130 citations · 384 across the 13 of their papers we have counts for
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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.data-an2006★ 11 cited
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…
physics.soc-ph2006★ 8 cited
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…