The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from...

In financial market, one of complex systems, there is highly nonlinear interaction between heterogeneous traders. Due to this nonlinear interaction, emergent behavior, which is so called ‘stylized facts' occurs in financial market. To understand impact of interaction between heterogeneous...

In this paper, we investigate the effect of fast traders in continuous double action markets using agent-based modeling. We consider two agent types, such as fast and slow traders, by preference of investment time in a high-risk environment. Additionally, the order aggressiveness of agents with...

We study the effect of network formation on cooperation in the finitely repeated prisoner’s dilemma based on the game-theoretical model approach. We suggest the model explaining the effect of endogenous network formation on cooperation. We find a subgame perfect strongly pairwise-Nash...

Based on the game-theoretical model approach, I analyze the equilibrium state in the finitely repeated networked prisoner's dilemma. From the 1st round to round t_c, all players play the simple two-person prisoner's dilemma game with a partner randomly selected. From round t_c to the final...

We investigate a factor that can affect the number of links of a specific stock in a network between stocks created by the minimal spanning tree (MST) method, by using individual stock data listed on the S&P500 and KOSPI. Among the common factors mentioned in the arbitrage pricing model (APM),...

This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (EMH) in terms of the information of past price...

We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of used data sets, all data exhibits the volatility clustering properties, whereas those which filtered the volatility...

In this study, we have investigated factors of determination which can affect the connected structure of a stock network. The representative index for topological properties of a stock network is the number of links with other stocks. We used the multi-factor model, extensively acknowledged in...

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...