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 1029868
386 2019학년도 2학기 콜로퀴움 일정 2019.07.17 420882
385 2017학년도 1학기 콜로퀴움 일정 2017.01.05 258427
384 2020학년도 1학기 콜로퀴움 일정 2020.01.31 251202
383 <Mar.3(Wed.)>Scaling laws in Natural Language Processing 2021.02.25 215170
382 <3/14>Adaptive Optics for the Human Eye and Ophthalmic Applications 2008.03.12 209208
381 <5/16> 물리학자가 바라 본 단백질: 왜, 어떻게 연구하는가? 2012.05.10 207294
380 <6/11> Advanced Physiological Optics and Its Ophthalmic Applications 2014.05.28 176187
379 <11/6> Graphene plasmon and Plasmonics 2013.10.31 169429
378 <May. 25(Wed.) 4:30 PM> Functional Materials @ Nanoscale: Electronics, Energy and ‘Green’Healthcare Applications 2016.05.23 163697
377 <Sep. 23(Wed.) 4:30 PM>Grain boundary effect in Metal : A journey of discovery from crystal to thin films without grain boundaries 2015.09.16 159136
376 <Nov. 18(Wed.) 4:30 PM> Single-molecule chemistry and spectroscopy on ultrathin insulating films 2015.11.11 156536
375 <4/2> Radio Detection of Ultra High Energy Cosmic Rays and Neutrinos in Antarctica 2014.03.26 154634
374 <Dec. 1(Wed.)>Halide Perovskite Single Crystals and Thin Films for Solar Cells and Optoelectronics 2021.11.25 151501
373 2020학년도 2학기 콜로퀴움 일정 2020.07.16 150854
372 <11/26(수)> Neutrino Physics with KamLAND 2014.11.20 150423
371 <3/13> Probing hidden magnetism and quantum criticality in unconventional superconductors 2009.03.06 149193
370 <11/7> On-Film Formation of Bi Nanowires with Extraordinary Electron Mobility 2008.11.03 146753
369 <June.12(Wed.)> Ribocomputing: Cellular Logic Computation using RNA Devices file 2019.06.07 146217
368 <12/4> Shining light on the dark Universe 2013.11.29 143202
367 <10/31> Large-Scale Quantitative Analysis of Painting Arts 2012.10.18 141187