2 papers
physics.data-an2006
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
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…