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 1090455
418 <9/17>Computational studies of materials and nanostructures 2010.09.08 81910
417 <10/8>"Einstein was wrong?"--Two-proton spin- correlation measurement for EPR paradox. 2010.10.04 157360
416 <10/15> Electric control of magnetic nanostructures via spin torque 2010.10.08 119124
415 <10/29> 분자 나노자성체에 대한 소개 2010.10.15 83279
414 <11/5> Modified nucleic acid systems for biomedical applications 2010.11.01 136096
413 <11/12> 다윈의 식탁 - 현대 진화론의 맛있는 논쟁 2010.11.05 83396
412 <11/19> From Schrödinger's cat to quantum technology using light 2010.11.11 100557
411 <11/26> The Carbon New Age 2010.11.18 97422
» <12/3> Characteristic of risk asset in financial market. 2010.11.29 132344
409 2011학년도 1학기 콜로퀴엄 일정 안내 2011.01.25 80438
408 <3/9> Understanding the Nature of Metal-Insulator Transition in a Single Crystalline VO2 nanowires 2011.03.04 98383
407 <3/16> Inelastic X-ray Scattering: past, present, and the future 2011.03.10 88945
406 <3/23> 동서양의 세계관과 풍경화 2011.03.17 85867
405 <3/30> Supersolidity in Helium 2011.03.25 86395
404 <4/6> Knowledge is power: Maxwell's demon in the quantum wonderland 2011.03.31 148836
403 <4/27> RENO Reactor Neutrino Experiment 2011.04.18 111195
402 <5/4> Kondo effect in nanoscopic devices 2011.04.28 85161
401 <5/11> Hybrid Josephson Junctions of Various Nanostructures 2011.05.04 104580
400 <5/18> Three magics to hold an atom without perturbation 2011.05.09 101391
399 <5/25> 나노켈빈 원자 기체의 보즈-아인슈타인 응집 2011.05.18 85519