arXiv subjects

Jae-Suk Yang

Publications and source records attributed to Jae-Suk Yang.

11 recordsLinked to original sources

arXiv2018

Gravity model for dyadic Olympic competitions

In the Olympic Games, professional athletes representing their nations compete regardless of economic, political and cultural differences. In this study, we apply gravity model to observe characteristics, represented by distances among nations that directly compete against one another in the Summer Olympics. We use dyadic data consisting of medal winning nations in the Olympic Games from 1952 to 2016. To compare how the dynamics changed during and after the Cold War period, we partitioned our data into two time periods (1952-1988 and 1992-2016). Our research is distinguishable from previous studies in that we newly introduce application of gravity model in observing the dynamics of the Olympic Games. Our results show that for the entire study period, countries that engaged each other in competition in the finals of an Olympic event tend to be similar in economic size. After the Cold War, country pairs that compete more frequently tend to be similar in genetic origin.

physics.soc-ph↗

arXiv2011

Impact of the topology of global macroeconomic network on the spreading of economic crises

Throughout economic history, the global economy has experienced recurring crises. The persistent recurrence of such economic crises calls for an understanding of their generic features rather than treating them as singular events. The global economic system is a highly complex system and can best be viewed in terms of a network of interacting macroeconomic agents. In this regard, from the perspective of collective network dynamics, here we explore how the topology of global macroeconomic network affects the patterns of spreading of economic crises. Using a simple toy model of crisis spreading, we demonstrate that an individual country's role in crisis spreading is not only dependent on its gross macroeconomic capacities, but also on its local and global connectivity profile in the context of the world economic network. We find that on one hand clustering of weak links at the regional scale can significantly aggravate the spread of crises, but on the other hand the current network structure at the global scale harbors a higher tolerance of extreme crises compared to more "globalized" random networks. These results suggest that there can be a potential hidden cost in the ongoing globalization movement towards establishing less-constrained, trans-regional economic links between countries, by increasing the vulnerability of global economic system to extreme crises.

q-fin.ST↗

arXiv2011

Quantitative and empirical demonstration of the Matthew effect in a study of career longevity

The Matthew effect refers to the adage written some two-thousand years ago in the Gospel of St. Matthew: "For to all those who have, more will be given." Even two millennia later, this idiom is used by sociologists to qualitatively describe the dynamics of individual progress and the interplay between status and reward. Quantitative studies of professional careers are traditionally limited by the difficulty in measuring progress and the lack of data on individual careers. However, in some professions, there are well-defined metrics that quantify career longevity, success, and prowess, which together contribute to the overall success rating for an individual employee. Here we demonstrate testable evidence of the age-old Matthew "rich get richer" effect, wherein the longevity and past success of an individual lead to a cumulative advantage in further developing his/her career. We develop an exactly solvable stochastic career progress model that quantitatively incorporates the Matthew effect, and validate our model predictions for several competitive professions. We test our model on the careers of 400,000 scientists using data from six high-impact journals, and further confirm our findings by testing the model on the careers of more than 20,000 athletes in four sports leagues. Our model highlights the importance of early career development, showing that many careers are stunted by the relative disadvantage associated with inexperience.

physics.pop-ph↗

arXiv2008

Information flow between stock indices

Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pacific region the biggest is receives the most information. According to the minimum spanning tree, the GSPC is located at the focal point of the information source for world stock markets.

q-fin.ST↗

arXiv2007

Information flow between composite stock index and individual stocks

We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.

q-fin.ST↗

arXiv2007

The market efficiency in the stock markets

We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500), Nikkei stock average index, and Korean composition stock price index (KOSPI). Based on the microscopic spin model, we also find that these statistical quantities in stock markets depend on the market efficiency.

physics.soc-ph↗

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↗

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

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↗