164 citations · 396 across the 11 of their papers we have counts for
5 papers · 1 filter
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…
Statistical properties of information flow in financial time series
Cheoljun Eom, Okyu Kwon, Woo-Sung Jung
This paper has been withdrawn by the authors.
Information flow between stock indices
Okyu Kwon, Jae-Suk Yang
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In co…
Group dynamics of the Japanese market
Woo-Sung Jung, Okyu Kwon, Fengzhong Wang +3
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping…
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…