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Persistent and Survival Properties in a Stock Market Index
이재우,차문용,맹성은,방유식 한국물리학회 2010 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.56 No.3
We consider the persistent and the survival properties of the Korean stock market index (KOSPI),and investigate the crossing and the persistence probability for a time series of the KOSPI. The crossing probability of the stock index follows a power law, Y (t) ~t−α. The Korean stock market shows weak antipersistent behavior. We also report the survival probability of the stock index. The survival probability S(t) measures the probability of a stock’s price remaining above (or below) a reference value up to a time to + t. We observed that the survival probability in the Korean stock market followed a power law, S(t) ~ -β, where the exponent depended on the reference level. The persistence and the survival of the stock index comes from the correlated memory of the stock index in the market.
Waiting-Time Distribution for Korean Stock-Market Index KOSPI
이재우,이경은,Per Arne Rikvold 한국물리학회 2006 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.48 No.II
We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold rc. Through an exponential bin plot, we observe that the waiting-time distribution shows power-law behavior, pf (t) t., for a range of threshold values. The waiting-time distribution has two scaling regimes, separated by the crossover time tc 200 min. The power-law exponents of the waiting-time distribution decrease when the return time t increases. In the late-time regime, t > tc, the power-law exponents are independent of the threshold to within the error bars for fixed return time.
How to Nurture Knowledge-Based Industries in Knowledge-Scarce Regions: Focus on the Busan Region
이재우 한국경제통상학회 2008 경제연구 Vol.26 No.3
In this paper, we observe that most of the regions except Seoul-capital regions in Korea are very stagnating in growth. We try to see how differently many regions invest in R&D. By the comparison of regional LQs of knowledge-based industries we confirm that regions are largely differentiated in the degree of specialization in the knowledge-based industries, in both the manufacturing and service sectors. In particular, most of non-capital areas, such as Busan, are deeply locked in low growth and periphery status trap, substantially lagging behind the capital core areas in the development of knowledge-based industries. It is hard to undo the path-dependency, considering network effects and agglomeration economies in the development of local regions. It simply implies that the government role must be stressed in order to correct market failures in achieving balanced growth of regions. Based on these observations, and recent theories of knowledge clusters, some policy suggestions are made with the focus of on the government role as provider of public infrastructure, facilitator of competitive markets, and gap filler for missing markets or inputs.