94 citations · 94 across the 2 of their papers we have counts for
5 papers
Information flow between composite stock index and individual stocks
Okyu Kwon, Jae-Suk Yang
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stoc…
Minimum Entropy Density Method for the Time Series Analysis
Jeong Won Lee, Joongwoo Brian Park, Hang-Hyun Jo +2
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (…
Dynamics of the return distribution in the Korean financial market
Jae-Suk Yang, Seungbyung Chae, Woo-Sung Jung +1
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we…
Effects of the globalization in the Korean financial markets
Woo-Sung Jung, Okyu Kwon, Jae-Suk Yang +1
We study the effect of globalization on the Korean market, one of the emerging markets. Some characteristics of the Korean market are different from those of the mature market acco…
Characteristics of the Korean stock market correlations
Woo-Sung Jung, Seungbyung Chae, Jae-Suk Yang +1
In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this…