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Hie-Tae Moon

Publications and source records attributed to Hie-Tae Moon.

At least 19 recordsLinked to original sources
arXiv2007

Volatility return intervals analysis of the Japanese market

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval $τ$ and its mean $<τ>$. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.

q-fin.ST↗
arXiv2007

Dynamics of clustered opinions in complex networks

A simple model for simulating tug of war game as varying the player number in a team is discussed to identify the slow pace of fast change. This model shows that a large number of information sources leads slow change for the system. Also, we introduce an opinion diffusion model including the effect of a high degree of clustering. This model shows that the de facto standard and lock-in effect, well-known phenomena in economics and business management, can be explained by the network clusters.

physics.soc-ph↗
arXiv2007

Group dynamics of the Japanese market

We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences on the market due to the globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger grouping in this measurement, compared to the original analysis, which agrees with our assumption that the international market influences to the Japanese market.

q-fin.ST↗
arXiv2006

Complexity analysis of the stock market

We study the complexity of the stock market by constructing $ε$-machines of Standard and Poor's 500 index from February 1983 to April 2006 and by measuring the statistical complexities. It is found that both the statistical complexity and the number of causal states of constructed $ε$-machines have decreased for last twenty years and that the average memory length needed to predict the future optimally has become shorter. These results support that the information is delivered to the economic agents and applied to the market prices more rapidly in year 2006 than in year 1983.

physics.soc-ph↗
arXiv2006

Minimum Entropy Density Method for the Time Series Analysis

The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series, which is defined as the scale in which the uncertainty is minimized, hence the pattern is revealed most. The MEDM is applied to the financial time series of Standard and Poor's 500 index from February 1983 to April 2006. Then the temporal behavior of structure scale is obtained and analyzed in relation to the information delivery time and efficient market hypothesis.

physics.data-an↗
arXiv2006

Dynamics of Helping Behavior and Networks in a Small World

To investigate an effect of social interaction on the bystanders' intervention in emergency situations a rescue model was introduced which includes the effects of the victim's acquaintance with bystanders and those among bystanders from a network perspective. This model reproduces the experimental result that the helping rate (success rate in our model) tends to decrease although the number of bystanders $k$ increases. And the interaction among homogeneous bystanders results in the emergence of hubs in a helping network. For more realistic consideration it is assumed that the agents are located on a one-dimensional lattice (ring), then the randomness $p \in [0,1]$ is introduced: the $kp$ random bystanders are randomly chosen from a whole population and the $k-kp$ near bystanders are chosen in the nearest order to the victim. We find that there appears another peak of the network density in the vicinity of $k=9$ and $p=0.3$ due to the cooperative and competitive interaction between the near and random bystanders.

physics.soc-ph↗
arXiv2005

Grouping in the stock markets of Japan and Korea

We investigated the temporally evolving network structures of the Japanese and Korean stock markets through the minimum spanning trees composed of listed stocks. We tested the validity of conventional grouping by industrial categories, and found a common trend of decrease for Japan and Korea. This phenomenon supports the increasing external effects on the markets due to the globalization of both countries. At last the Korean market are grouped with the MSCI Korea Index, a good reference for foreigners' trading, in the early 2000s \cite{Jung2006}. In the Japanese market, this tendency is strengthened more and more by burst of the bubble in 1990's.

physics.soc-ph↗
arXiv2005

Dynamics of the return distribution in the Korean financial market

In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market.

physics.soc-ph↗
arXiv2005

Effects of the globalization in the Korean financial markets

We study the effect of globalization on the Korean market, one of the emerging markets. Some characteristics of the Korean market are different from those of the mature market according to the latest market data, and this is due to the influence of foreign markets or investors. We concentrate on the market network structures over the past two decades with knowledge of the history of the market, and determine the globalization effect and market integration as a function of time.

physics.soc-ph↗
arXiv2005

Transfer Entropy Analysis of the Stock Market

In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones can be found and also the market leading companies are selected. Our entropy analysis shows that the companies related with energy industries such as oil, gas, and electricity influence the whole market.

physics.soc-ph↗
arXiv2005

Rescue Model for the Bystanders' Intervention in Emergencies

To investigate an effect of social interaction on the bystanders' intervention in emergency situations we introduce a rescue model which includes the effects of the victim's acquaintance with bystanders and those among bystanders. This model reproduces the surprising experimental result that the helping rate tends to decrease although the number of bystanders $k$ increases. The model also shows that given the coupling effect among bystanders, for a certain range of small $k$ the helping rate increases according to $k$ and that coupling effect plays both positive and negative roles in emergencies. Finally we find a broad range of coupling strength to maximize the helping rate.

physics.soc-ph↗
arXiv2005

Characteristics of the Korean stock market correlations

In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When the MSCI (Morgan Stanley Capital International Inc.) index is exploited, we found that the clusters of the Korean stock market is formed. This finding implicates that the Korean market, in this context, is characteristically different form the mature markets.

physics.soc-ph↗
arXiv2005

The effect of spatially correlated noise on coherence resonance in a network of excitable cells

We study the effect of spatially correlated noise on coherence resonance (CR) in a Watts-Strogatz small-world network of Fitz Hugh-Nagumo neurons, where the noise correlation decays exponentially with distance between neurons. It is found that CR is considerably improved just by a small fraction of long-range connections for an intermediate coupling strength. For other coupling strengths, an abrupt change in CR occurs following the drastic fracture of the clustered structures in the network. Our study shows that spatially correlated noise plays a significant role in the phenomenon of CR through enforcing the clustering of the network.

cond-mat.dis-nn↗
arXiv2005

Pattern Formation in a Two-Dimensional Array of Oscillators with Phase-Shifted Coupling

We investigate the dynamics of a two-dimensional array of oscillators with phase-shifted coupling. Each oscillator is allowed to interact with its neighbors within a finite radius. The system exhibits various patterns including squarelike pinwheels, (anti)spirals with phase-randomized cores, and antiferro patterns embedded in (anti)spirals. We consider the symmetry properties of the system to explain the observed behaviors, and estimate the wavelengths of the patterns by linear analysis. Finally, we point out the implications of our work for biological neural networks.

nlin.PS↗
arXiv2003

Immunization Dynamics on a 2-layer Network Model

We introduce a 2-layer network model for the study of the immunization dynamics in epidemics. Spreading of an epidemic is modeled as an excitatory process in a small-world network (body layer) while immunization by prevention for the disease as a dynamic process in a scale-free network (head layer). It is shown that prevention indeed turns periodic rages of an epidemic into small fluctuation. The study also reveals that, in a certain situation, prevention actually plays an adverse role and helps the disease survive. We argue that the presence of two different characteristic time scales contributes to the immunization dynamics observed.

cond-mat.dis-nn↗
arXiv2002

Time-delayed Spatial Patterns in a Two-dimensional Array of Coupled Oscillators

We investigated the effect of time delays on phase configurations in a set of two-dimensional coupled phase oscillators. Each oscillator is allowed to interact with its neighbors located within a finite radius, which serves as a control parameter in this study. It is found that distance-dependent time-delays induce various patterns including traveling rolls, square-like and rhombus-like patterns, spirals, and targets. We analyzed the stability boundaries of the emerging patterns and briefly pointed out the possible empirical implications of such time-delayed patterns.

nlin.PS↗