Related papers: Effects of the globalization in the Korean financi…
We investigate course registration data of 18 semesters at a Korean University to portray the time evolution of students' positions in the network of fellow students. Apart from being a study of the social positions of students, the present…
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…
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that…
This paper examines the degree of integration at euro area financial markets. To that end, we estimate overall and country-specific integration indices based on a panel vector-autoregression with factor stochastic volatility. Our results…
Many-to-one matching markets exist in numerous different forms, such as college admissions, matching medical interns to hospitals for residencies, assigning housing to college students, and the classic firms and workers market. In all these…
In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized…
Urbanization plays a crucial role in the economic development of every country. The mutual relationship between the urbanization of any country and its economic productive structure is far from being understood. We analyzed the historical…
We address the problem of gauging the influence exerted by a given country on the global trade market from the viewpoint of complex networks. In particular, we apply the PWP method for computing indirect influences on the world trade…
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and…
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to…
This paper examines quantile dependence between international stock markets and evaluates its use for improving volatility forecasting. First, we analyze quantile dependence and directional predictability between the US stock market and…
The existing theorization of development economics and transition economics is probably inadequate and perhaps even flawed to accurately explain and analyze a dual economic system such as that in China. China is a country in the transition…
Global financial systems are undergoing strategic shifts as geopolitical tensions reshape international trade and payments. The United States (US)-China trade war, sanctions regimes, and rising concerns over the weaponization of financial…
We develop a model in which country-specific tariffs shape trade flows, prices, and welfare in a global economy with one homogeneous good. Trade flows form a Directed Acyclic Graph (DAG), and tariffs influence not only market outcomes but…
This paper models firm-to-firm trade in a production network as a set of double auctions. Firms have multilateral market power, namely, can affect prices in both input and output markets. The size and division of surplus are endogenous and…
In Kenya, interest payments on external debt have been increasing from 2010 to 2015, while GDP growth experienced a slight decline over the same period. Policymakers are concerned that the rapid increase in external debt in developing…
The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries' positioning in global value chains. We…