In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of Markowitz's portfolio theory. We identified that there was...

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 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...

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 features for all four cases. To observe the effect of the Asian currency...

In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the...

The Metropolitan Seoul Subway system, consisting of 380 stations, provides the major transportation mode in the metropolitan Seoul area. Focusing on the network structure, we analyze statistical properties and topological consequences of the subway system. We further study the passenger flows on...

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...

In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early...

In this study, we evaluate the relationship between efficiency and predictability in the stock market. The efficiency, which is the issue addressed by the weak-form efficient market hypothesis, is calculated using the Hurst exponent and the approximate entropy (ApEn). The predictability...