logo

korean english

게시판

Home > 게시판 > 세미나

아래와 같이 콜로퀴움을 개최하오니 많이 참석해 주시기 바랍니다.

4시 10분부터 제1과학관 31214 e+강의실 앞에서 다과를 준비하오니 많은 참석 부탁드립니다

아 래

제목: Characteristic of risk asset in financial market.

연사: 오 갑 진 교수 (조선대학교 경영학부)

일시: 2010년 12월 3(금) 오후4:30 장소: e+첨단강의실 (31214호실)

 

초록: Economic systems are widely acknowledged as extremely complex, and have recently become an interesting research area for physicists as well as economists. A numerous studies analyzing financial time series have been carried out to understand the complex economics systems which made up of heterogeneous agents. While the nonlinear and complex analyzing of financial time series such as stocks and foreign exchange rates exhibits diverse features different from the random-walk process based on the efficiency market hypothesis (EMH). The purpose of this talk is to understand the intrinsic characteristics of financial markets, for example, long-memory and clustering behavior of volatility time series and interactions between individual stocks. First, I analyze the statistical and nonlinear characteristics of financial time series. To observe these features, I employs the diverse methods, such as, the detrended fluctuation analysis (DFA), generalized autoregressive conditional heteroskedasticity (GARCH), and fractional brownian motion (FBM) and propose a novel approach for measuring the volatility clustering effect of return time series by using the symbolic data and its conditional distribution. I have find that the returns of stock market indices follow a universal power-law distribution with an exponent of 3. And no significant long-term memory property is detected in the return series, while a strong long-term memory property find in the volatility time series and can be attributed to the volatility clustering. Secondly, I analyze the multifractality and randomness of foreign exchange rates by using the multifractal detrended fluctuation analysis (MF-DFA) and approximate entropy (ApEn) methods. I find that the Korean and Thai foreign exchange markets after the Asian currency crisis increases significantly in multifractality compared to Hong Kong and Japan. In addition, I analyze the randomness (or efficiency) from the foreign exchange rates for 17 countries from 1984 to 2004. I find that on average, the ApEn values for European and North American foreign exchange markets are larger than those for African and Asian ones except Japan. Thirdly, I analyze the stock network property created by using the minimal spanning tree (MST) method. I use individual stock data listed on the S&P500 and the KOSPI stock markets. I shows that the degree distribution in the network between stocks obtained by using the MST method for both stock markets follows a power-law distribution with an exponent 2.31. In addition, in order to quantify the degree of grouping in the stock market, I propose a novel method by using the shortest path length (SPL) between stocks in the MST structure. I find that the degree of grouping for the United States have a higher value than those of the Korean stock market. In particular, for the Korean stock market the conglomerates, which have the companies belonging to diverse industry sectors, have a significant grouping coefficient.

번호 제목 날짜 조회 수
공지 <12/8(Thu.) 11:00am>노벨상 소개 강연 - 2016년 노벨 물리학상: 위상 응집 물리의 탄생 2016.11.28 1091378
318 <3/28> 양자물리학의 성립 과정 2012.03.22 73311
317 <3/21> 우주가속팽창의 원인 규명 2012.03.15 91222
316 <3/14> 시공간 왜곡과 우주론(Spacetime warp and Cosmology) 2012.03.07 79511
315 2012학년도 1학기 콜로퀴움 일정 안내 [5] 2012.02.29 86195
314 <12/7> Optical Antennas 2011.11.30 90189
313 <11/30> 기능성 산화물의 현황과 응용 2011.11.24 80591
312 <11/23> How statistical physics contributes to Internet world: perspectives, methods and applications 2011.11.15 93701
311 <11/16> Study of carrier transport and charging effects in organic devices 2011.11.10 117976
310 <11/9> Bosons in high Tc superconductors: an experimental survey 2011.10.31 115334
309 <11/2> Color Science for Reflective mode Optical Shutter 2011.10.27 168355
308 <10/26> 빛으로 보는 세상 2011.10.17 80114
307 <10/12> Introduction to the Proton Engineering Frontier Project 2011.10.10 81900
306 <10/5> Acoustic Metamaterials and Reversal of Sound 2011.09.26 95447
305 <9/21> Electronic phase transition in low dimensional SrTiO3/(Sr1-x,Lax)TiO3 oxide superlattices 2011.09.09 84941
304 <9/7> 과학과 예술 (Science and Arts) 2011.08.30 81494
303 2011학년도 2학기 콜로퀴움 일정 안내 2011.08.22 89482
302 <6/8> 액체금속 및 물의 과냉각 현상과 국소구조와의 관계 : 정전기 공중부양 기술 및 dynamic diamond anvil cell 2011.06.07 112564
301 <6/1> Electron phonon coupling effect in 4d transition metal oxide magnetism 2011.05.26 107188
300 <5/25> 나노켈빈 원자 기체의 보즈-아인슈타인 응집 2011.05.18 85561
299 <5/18> Three magics to hold an atom without perturbation 2011.05.09 101461