arXiv subjects

Seong-Min Yoon

Publications and source records attributed to Seong-Min Yoon.

15 recordsLinked to original sources

arXiv2005

Dynamical Structures of High-Frequency Financial Data

We study the dynamical behavior of high-frequency data from the Korean Stock Price Index (KOSPI) using the movement of returns in Korean financial markets. The dynamical behavior for a binarized series of our models is not completely random. The conditional probability is numerically estimated from a return series of KOSPI tick data. Non-trivial probability structures can be constituted from binary time series of autoregressive (AR), logit, and probit models, for which the Akaike Information Criterion shows a minimum value at the 15th order. From our results, we find that the value of the correct match ratio for the AR model is slightly larger than the findings of other models.

physics.soc-ph↗

arXiv2005

Dynamical Stochastic Processes of Returns in Financial Markets

We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S$&$P 500 stock index, which can be described by means of the Fokker-Planck equation. We show that the Fokker-Planck equation and the Langevin equation from the estimated Kramers-Moyal coefficients are estimated directly from the empirical data. By analyzing the statistics of the returns, we present quantitatively the deterministic and random influences on financial time series for both markets, for which we can give a simple physical interpretation. We particularly focus on the diffusion coefficient that may be significantly important for the creation of a portfolio.

physics.soc-ph↗

arXiv2005

Dynamical Minority Games in Futures Exchange Markets

We introduce the minority game theory for two kinds of the Korean treasury bond (KTB) in Korean futures exchange markets. Since we discuss numerically the standard deviation and the global efficiency for an arbitrary strategy, our case is found to be approximate to the majority game. Our result presented will be compared with numerical findings for the well-known minority and majority game models.

physics.soc-ph↗

arXiv2005

Financial Networks in the Korean Stock Exchange Market

We investigate the financial network in the Korean stock exchange (KSE) market, using both numerical simulations and scaling arguments. We estimate the cross-correlation on the stock price exchanges of all companies listed on the the Korean stock exchange market, where all companies are fully connected via weighted links, by introducing a weighted random graph. The degree distribution and the edge density are discussed numerically from the market graph, and the statistical analysis for the degree distribution of vertices is particularly found to approximately follow the power law.

physics.soc-ph↗

arXiv2004

Dynamical Volatilities for Yen-Dollar Exchange Rates

We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponent k = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.

cond-mat.other↗

arXiv2004

Phase Transition of Dynamical Herd Behaviors in Financial Markets

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $τ$ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of $τ$ < 30 minutes, while it occurs no financial crash at $τ$ > 30 minutes. it is especially obtained that our dynamical herd behavior exhibits the phase transition at one time lag $τ$ = 30 minutes.

cond-mat.stat-mech↗

arXiv2004

Multifractal Measures for the Yen-Dollar Exchange Rate

We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from the yen-dollar exchange rate. This exists one crossover for the Hurst exponents at charateristic time scales, while the bond futures exists no crossover. Particularly, it is shown that the probability distribution of the yen-dollar exchange rate has one form of the Lorentz distribution rather than fat-tailed properties, which is similar to that of for the won-dollar exchange rate.

cond-mat.stat-mech↗

arXiv2004

Herd Behaviors in Financial Markets

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \simeq R^{-β}$ with the exponents $ β=3.11$(the time interval $τ=$ one minute) and 3.36($τ=$ one day). The informational cascade regime appears in the herding parameter $H\ge 2.33$ at $τ=$ one minute, while it occurs no herding at $τ=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $Δt=1$ day.

cond-mat.stat-mech↗

arXiv2004

Power Law Distributions in Korean Household Incomes

We investigate the distribution function and the cumulative probability for Korean household incomes, i.e., the current, labor, and property incomes. For our case, the distribution functions are consistent with a power law. It is also showed that the probability density of income growth rates almost has the form of a exponential function. Our obtained results are compared with those of other numerical calculations.

cond-mat.stat-mech↗

arXiv2003

Volatility and Returns in Korean Futures Exchange Markets

We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and volatility for bond futures are treated particularly at the long-time limit. The volatility for the price of our bond futures shows a power-law with anomalous scaling exponent, similar to other options. Our result presented will be compared with that of recent numerical calculations.

cond-mat.stat-mech↗

arXiv2003

Dynamics of the Minority Game for Patients

We analyze the minority game for patients, and the results known from the minority game are applied to the patient problem consulted at the department of pediatric cardiology. We find numerically the standard deviation and the global efficiency, similar to the El Farol bar problem. After the score equation and the scaled utility are introduced, the dynamical behavior of our model is discussed for particular strategies. Our result presented will be compared with the well-known minority games.

cond-mat.stat-mech↗

arXiv2003

Multifractal Features in the Foreign Exchange and Stock Markets

The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We also estimate the Hurst exponent and the generalized $q$th-order Hurst exponent in the unversal multifractal framework. Particularly, our financial market is a persistent process with long-run memory effects, and the statistical value of the Hurst exponents occurs the crossovers at charateristic time scales. It is found that the probability distribution of returns is well consistent with a Lorentz distribution, significantly different from fat-tailed properties.

cond-mat.stat-mech↗

arXiv2003

Herd Behaviors in the Stock and Foreign Exchange Markets

The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends to a power-law behavior $P(R) \simeq R^{-β}$ with the exponents $ β=2.2$(the won-dollar exchange rate) and 2.4(the KOSPI). The financial crashes are found to occur at $h >2.33$ when the relative increase in the probability distribution of exteremely high price returns is observed. Especially, the distribution of normalized returns shows a crossover to a Gaussian distribution for the time step $Δt=252$. Our results will be also compared to the other well-known analyses.

cond-mat.stat-mech↗

arXiv2003

Herd Behavior of Returns in the Futures Exchange Market

The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-β}$ with the exponents $ β=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $Δt=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results.

cond-mat.stat-mech↗

arXiv2002

Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond(KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents $β$ $=$ 0.82(KTB 203) and $β$ $=$ 0.90(KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability $ε$ $=$ 17 and 18 decayed rapidly in large time limit, and our results are compared with recent numerical calculations.

cond-mat.stat-mech↗