DC Field | Value | Language |
---|---|---|
dc.contributor.author | Eom, C | - |
dc.contributor.author | Jung, WS | - |
dc.contributor.author | Sunghoon Choi | - |
dc.contributor.author | Gabjin Oh | - |
dc.contributor.author | Seunghwan Kim | - |
dc.date.accessioned | 2016-04-01T02:29:35Z | - |
dc.date.available | 2016-04-01T02:29:35Z | - |
dc.date.created | 2009-02-28 | - |
dc.date.issued | 2008-09-01 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.other | 2008-OAK-0000022508 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/25234 | - |
dc.description.abstract | 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 Canadian, and US market data. We found that the frequency of the significant information decreases as the time interval increases. However, no significant information flow was observed in the time series from which the temporal time correlation was removed. These results indicated that the information flow between stocks evidences time-dependency properties. Furthermore, we discovered that the difference in the degree of efficiency performs a crucial function in determining the direction of the significant information flow. (C) 2008 Elsevier B.V. All rights reserved. | - |
dc.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.relation.isPartOf | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.subject | econophysics | - |
dc.subject | information flow | - |
dc.subject | time dependency | - |
dc.subject | efficiency | - |
dc.subject | approximate entropy | - |
dc.subject | CROSS-CORRELATIONS | - |
dc.subject | STOCK MARKETS | - |
dc.subject | VOLATILITY | - |
dc.subject | SERIES | - |
dc.subject | TRANSMISSION | - |
dc.subject | ENTROPY | - |
dc.subject | INDEX | - |
dc.title | Effects of time dependency and efficiency on information flow in financial markets | - |
dc.type | Article | - |
dc.contributor.college | 기술경영 대학원 과정 | - |
dc.identifier.doi | 10.1016/J.PHYSA.2008 | - |
dc.author.google | Eom, C | - |
dc.author.google | Jung, WS | - |
dc.author.google | Choi, S | - |
dc.author.google | Oh, G | - |
dc.author.google | Kim, S | - |
dc.relation.volume | 387 | - |
dc.relation.issue | 21 | - |
dc.relation.startpage | 5219 | - |
dc.relation.lastpage | 5224 | - |
dc.contributor.id | 10150087 | - |
dc.relation.journal | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCI | - |
dc.collections.name | Journal Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.387, no.21, pp.5219 - 5224 | - |
dc.identifier.wosid | 000258770500024 | - |
dc.date.tcdate | 2019-02-01 | - |
dc.citation.endPage | 5224 | - |
dc.citation.number | 21 | - |
dc.citation.startPage | 5219 | - |
dc.citation.title | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.citation.volume | 387 | - |
dc.contributor.affiliatedAuthor | Jung, WS | - |
dc.identifier.scopusid | 2-s2.0-47649092184 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 5 | - |
dc.type.docType | Article | - |
dc.subject.keywordPlus | CROSS-CORRELATIONS | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | TRANSMISSION | - |
dc.subject.keywordPlus | INDEX | - |
dc.subject.keywordAuthor | econophysics | - |
dc.subject.keywordAuthor | information flow | - |
dc.subject.keywordAuthor | time dependency | - |
dc.subject.keywordAuthor | efficiency | - |
dc.subject.keywordAuthor | approximate entropy | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
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