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pro vyhledávání: '"Oh, Gabjin"'
In this paper, we study the characteristics of the member firms on the Korea Exchange. The member firms intermediate between the market participants and the exchange, and all the participants should trade stocks through members. To identify the chara
Externí odkaz:
http://arxiv.org/abs/2004.11148
Autor:
Park, A-Young1 (AUTHOR), Oh, Gabjin1 (AUTHOR) phecogjoh@chosun.ac.kr
Publikováno v:
PLoS ONE. 10/18/2023, Vol. 18 Issue 10, p1-20. 20p.
Akademický článek
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The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financ
Externí odkaz:
http://arxiv.org/abs/1503.00913
Publikováno v:
Eur. Phys. J. B (2013) 86, 349
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and the sell (bu
Externí odkaz:
http://arxiv.org/abs/1308.1749
Autor:
Kim, Jongwook, Oh, Gabjin
We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is analytically derived from the continuum limit of the discrete binary pr
Externí odkaz:
http://arxiv.org/abs/1201.5690
Autor:
Oh, Gabjin, Eom, Cheoljun, Wang, Fengzhong, Jung, Woo-Sung, Stanley, H. Eugene, Kim, Seunghwan
Publikováno v:
Eur. Phys. J. B 79, 55-60 (2011)
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 these affect the portfolio weights in the Markowitz portfolio theory.
Externí odkaz:
http://arxiv.org/abs/1010.2048
Publikováno v:
Physica A 387(21), 5219-5224 (2008)
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 considered in the analysis of Korean, the Japanese, the Taiwanese, the Canadi
Externí odkaz:
http://arxiv.org/abs/0802.1500
Autor:
Oh, Gabjin, Eom, Cheoljun, Havlin, Shlomo, Jung, Woo-Sung, Wang, Fengzhong, Stanley, H. Eugene, Kim, Seunghwan
Publikováno v:
Eur. Phys. J. B (2012) 85: 214
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 that the return time series show multifractal spectrum features for all
Externí odkaz:
http://arxiv.org/abs/0801.1475
Publikováno v:
Physica A 387(18), 4630-4636 (2008)
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated from the near
Externí odkaz:
http://arxiv.org/abs/0712.1624