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 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 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 apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and the sell (buy) decision is made when the log return is...

We investigated the grouping coefficients of industrial sectors in the stock network based on stock data for the U.S. and Korean stock markets. These complex networks were modeled using the minimal spanning tree (MST) method. We propose a novel approach based on the shortest path length (SPL)...

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 risk that is created by nonlinear interactions among subjects in economic systems is assumed to increase during an abnormal state of a financial market. Nevertheless, investigating the systemic risk in financial markets following the global financial crisis is not sufficient. In this paper,...