相关论文: Financial Networks in the Korean Stock Exchange Ma…

The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets…

We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold…

This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…

Whether or not stocks are predictable has been a topic of concern for decades.The efficient market hypothesis (EMH) says that it is difficult for investors to make extra profits by predicting stock prices, but this may not be true,…

About two million U.S. corporations and partnerships are linked to each other and human investors by about 15 million owner-subsidiary links. Comparable social networks such as corporate board memberships and socially-built systems such as…

This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in…

The number of spanning trees of a graph is an important invariant related to topological and dynamic properties of the graph, such as its reliability, communication aspects, synchronization, and so on. However, the practical enumeration of…

We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…

Sampling technique has become one of the recent research focuses in the graph-related fields. Most of the existing graph sampling algorithms tend to sample the high degree or low degree nodes in the complex networks because of the…

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…

The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism,…

Approaches from statistical physics are applied to investigate the structure of network models whose growth rules mimic aspects of the evolution of the world-wide web. We first determine the degree distribution of a growing network in which…

We have studied transportation network, namely a road network of the Moscow region and airline network of the Russian Federation. We have constructed corresponding networks and studied degree distribution and length distribution for these…

The surrounding of a vertex in a network can be more or less symmetric. We derive measures of a specific kind of symmetry of a vertex which we call degree symmetry -- the property that many paths going out from a vertex have overlapping…

Many social, technological, biological, and economical systems are best described by weighted networks, whose properties and dynamics depend not only on their structures but also on the connection weights among their nodes. However, most…

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…

We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…

We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT).…

In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…

In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China…