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Woo-Sung Jung

Publications and source records attributed to Woo-Sung Jung.

54 records · Page 3Linked to original sources
arXiv2009

The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets

In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of Markowitz's portfolio theory. We identified that there was a negative relationship between the influence of market properties and the degree of diversification of the weights among stocks in a portfolio. Furthermore, we noted that the random matrix theory method could control the properties of correlation matrix between stocks; this may be useful in improving portfolio management for practical application.

q-fin.PM↗
arXiv2008

On the distribution of career longevity and the evolution of home run prowess in professional baseball

Statistical analysis is a major aspect of baseball, from player averages to historical benchmarks and records. Much of baseball fanfare is based around players exceeding the norm, some in a single game and others over a long career. Career statistics serve as a metric for classifying players and establishing their historical legacy. However, the concept of records and benchmarks assumes that the level of competition in baseball is stationary in time. Here we show that power-law probability density functions, a hallmark of many complex systems that are driven by competition, govern career longevity in baseball. We also find similar power laws in the density functions of all major performance metrics for pitchers and batters. The use of performance-enhancing drugs has a dark history, emerging as a problem for both amateur and professional sports. We find statistical evidence consistent with performance-enhancing drugs in the analysis of home runs hit by players in the last 25 years. This is corroborated by the findings of the Mitchell Report [1], a two-year investigation into the use of illegal steroids in major league baseball, which recently revealed that over 5 percent of major league baseball players tested positive for performance-enhancing drugs in an anonymous 2003 survey.

physics.pop-ph↗
arXiv2008

Statistical Analysis of the Metropolitan Seoul Subway System: Network Structure and Passenger Flows

The Metropolitan Seoul Subway system, consisting of 380 stations, provides the major transportation mode in the metropolitan Seoul area. Focusing on the network structure, we analyze statistical properties and topological consequences of the subway system. We further study the passenger flows on the system, and find that the flow weight distribution exhibits a power-law behavior. In addition, the degree distribution of the spanning tree of the flows also follows a power law.

physics.soc-ph↗
arXiv2008

Effects of time dependency and efficiency on information flow in financial markets

We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese, the Canadian, and US market data. We found that the frequency of the significant information decreases as the time interval increases. However, no significant information flow was observed in the time series from which the temporal time correlation was removed. These results indicated that the information flow between stocks evidences time-dependency properties. Furthermore, we discovered that the difference in the degree of efficiency performs a crucial function in determining the direction of the significant information flow.

q-fin.ST↗
arXiv2007

Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets

We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated from the nearest-neighbor prediction method was used for the prediction of the directions of future price changes. We used 60 market indexes of various countries. We empirically discovered that the relationship between the degree of efficiency (the Hurst exponent) and the predictability (the hit rate) is strongly positive. That is, a market index with a higher Hurst exponent tends to have a higher hit rate. These results suggested that the Hurst exponent is useful for predicting future price changes. Furthermore, we also discovered that the Hurst exponent and the hit rate are useful as standards that can distinguish emerging capital markets from mature capital markets.

q-fin.ST↗
arXiv2007

Gravity model in the Korean highway

We investigate the traffic flows of the Korean highway system, which contains both public and private transportation information. We find that the traffic flow T(ij) between city i and j forms a gravity model, the metaphor of physical gravity as described in Newton's law of gravity, P(i)P(j)/r(ij)^2, where P(i) represents the population of city i and r(ij) the distance between cities i and j. It is also shown that the highway network has a heavy tail even though the road network is a rather uniform and homogeneous one. Compared to the highway network, air and public ground transportation establish inhomogeneous systems and have power-law behaviors.

physics.soc-ph↗
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

Relationship between degree of efficiency and prediction in stock price changes

This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (EMH) in terms of the information of past price changes. The prediction power corresponds to the hit-rate, which is the rate of the consistency between the direction of actual price change and that of predicted one, calculated by the nearest neighbor prediction method (NN method) using the out-of-sample. In this manuscript, the Hurst exponent and the approximate entropy (ApEn) are used as the quantitative measurements of the degree of efficiency. The relationship between the Hurst exponent, reflecting the various time correlation property, and the ApEn value, reflecting the randomness in the time series, shows negative correlation. However, the average prediction power on the direction of future price change has the strongly positive correlation with the Hurst exponent, and the negative correlation with the ApEn. Therefore, the market index with less market efficiency has higher prediction power for future price change than one with higher market efficiency when we analyze the market using the past price change pattern. Furthermore, we show that the Hurst exponent, a measurement of the long-term memory property, provides more significant information in terms of prediction of future price changes than the ApEn and the NN method.

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

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↗