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 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...

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...

We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the...

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 studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property...

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in...

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 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,...

We investigated the topological properties of stock networks constructed by a minimal spanning tree. We compared the original stock network with the estimated network; the original network is obtained by the actual stock returns, while the estimated network is the correlation matrix created by...