Using the price change and the log return of 10 stock market indices, we examine the temporal evolution of the time scale. The 10 stock markets had similar properties. Their log-return time series had patterns and long-range correlations until the mid-1990s. In the 2000s, however, the long-range...

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...

The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in the market in the formation of stock networks, using the...

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 nearest-neighbor prediction method was used for...

We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. In general, the return time series of various financial data, including stock indices, foreign exchange rates, and commodity prices, are uncorrelated in time,...