Grouping Properties of Industry Sectors : KOSPI and S&P 500 Markets

Gabjin Oh 한국재무학회 2010 한국재무학회 학술대회 Vol.2010 No.05

We investigated the grouping properties of industry sectors in the complex networks based on stock data for US and Korean stock markets. The complex networks are constructed by the minimal spanning tree (MST). We propose a novel approach based on the shortest path length (SPL) between stocks to quantify the grouping properties of industry sectors. We found that the grouping coefficients for the United States have a higher value than those of the Korean stock market. In particular, for the Korean stock market, the conglomerates, which are made up of companies belonging to diverse industry sectors, have significant grouping coefficients.

An Empirical Study for Measure of Volatility Clustering in International Financial Markets.

Gabjin Oh,Seunghwan Kim,Cheoljun Eom 한국재무학회 2007 한국재무학회 학술대회 Vol.2007 No.05

We propose a novel method to quantify the volatility clustering behavior observing in the ¯nancial time series generally. To create the solid results calculated by the proposed method in terms of the volatility clustering behavior, we used the international market indices of 14 countries. We ¯nd that regardless of used data sets, although the degree of volatility clustering of each country is di®erent, all data exhibits the volatility clustering properties, whereas those which eliminate the volatility clustering e®ect by the GARCH model reduce volatility clustering signi¯cantly. To test the usefulness of proposed method in this paper, we generates the arti¯cial time series by the GARCH(1,1) model with the coe±cients of original time series estimated by the GARCH(1,1) model. We also ¯nd that the degree of volatility clustering of arti¯cial data is very similar to those of the original time series. That is, we assert that this method can estimate the volatility clustering behavior in the ¯nancial markets.

Study on Information Flow in International Foreign Exchange Rates Using Symbolic Transfer Entropy method

Gabjin Oh,Cheoljun Eom 한국재무학회 2008 한국재무학회 학술대회 Vol.2008 No.11

In this paper, we investigates the asymmetry effect of information flow for the 31 daily international foreign exchange rates and also observes the relationship between the difference in the degree of market efficiency and the degree of asymmetry in the information flow. We utilize the symbolic transfer entropy (STE), widely acknowledged in econophysics literature, to estimate the information flows between foreign exchange rates and use the Approximate entropy (ApEn) method which can measure the randomness in the time series. We have find that the information for the 31 daily international foreign exchange rates streams from European to Asian continents, In other words, there is the asymmetry behavior of information flow. We then consider the difference in the degree of market efficiency as driving force of information flow and calculate the ApEn value in all foreign exchange rates used in this paper. We find that the degree of asymmetry in information flows between foreign exchange rates shows the strong positive correlation with the difference in the degree of market efficiency. Our finding suggest that for the international foreign exchange markets the difference in the degree of market efficiency plays an important role as driving force that can determine the direction of information flow.

Calibration of Exponential Levy Model with Moments in KOSPI200 Index Option

Gabjin Oh,SeungHo Yang,Younhee Lee,Jaewook Lee 한국재무학회 2009 한국재무학회 학술대회 Vol.2009 No.08

We investigate a parametric calibration problem of the European call option prices using the exponential CGMY model. Option prices created using the CGMY model is calculated by the Fast Fourier Transform (FFT) proposed by P. Carr and D.B. Madan. In generally, the calibration process in the option pricing model is very hard because the objective function have the numerous local minimums across a broad parameter range. In this paper, we use the regularization method based on the four moments (the mean, variance, skewness, and kurtosis) for the CGMY model to conquer the ill-posed inverse problem. We shows the numerical implementation for the exponential CGMY model using the nonlinear optimization algorithm and shown that it is very useful method to resolve the instability of the calibration problem. In particular, we apply our approach to the KOSPI200 index options and show that our results significantly outperform than those for Black-Scholes option pricing model.

Measuring complexity based on modularity

Gabjin Oh,Seunghwan Kim 한국산업응용수학회 2008 한국산업응용수학회 학술대회 논문집 Vol.4 No.3

We propose a novel approach to quantify the complexity based on modularity in multivariate data sets. We employ the mutual information to measure interactions between subunits. In order to test the utility of our method, the coupled random walks are used. We find that the complexity estimated from the coupled random walks is closely related to the integration and segregation. We also apply our method to stock data for US and Korean stock markets and find the modularity of industry sectors for the US market have a higher value than those of the Korean stock market. Notably, the modularity during the market crisis such as asian currency crisis significantly decreases.

Portfolio selection using complex network in aging society

Gabjin Oh,Seok won Ahn,Ho yong Kim 한국유통과학회 2017 KODISA ICBE (International Conference on Business Vol.2017 No.-

Portfolio management is an essential problem of financial investment literature. Since Markowitz's portfolio theory introduced, the numerous methods for constructing portfolio set have been proposed in the traditional technology such as the several clustering algorithm and the random matrix theory, while there has NYSE from 01.03 2000 to 12. 31. 2012. To make diverse portfolio sets, we constructed the stock network with winner-takes-all approach. We consider Pearson correlation in order to identify the performance of proposed method and calculated the correlation between the KOSPI and the network- based-portfolio index using in-sample, and out-of-sample return. We find that the correlation value was high enough in overall threshold value in in-sample that can be used as a secondary index. Moreover, we measured portfolio risk using out-of-sample return. We could find that the portfolio's risk much lower than Markowitz's random selected portfolio risk with proposed methodology, which leads to better performance of portfolio in terms of Sharpe ratio. This result implies that we can make sound stock portfolio using complex network.

L² HARMONIC FORMS ON GRADIENT SHRINKING RICCI SOLITONS

Yun, Gabjin Korean Mathematical Society 2017 대한수학회지 Vol.54 No.4

In this paper, we study vanishing properties for $L^2$ harmonic 1-forms on a gradient shrinking Ricci soliton. We prove that if (M, g, f) is a complete oriented noncompact gradient shrinking Ricci soliton with potential function f, then there are no non-trivial $L^2$ harmonic 1-forms which are orthogonal to df. Second, we show that if the scalar curvature of the metric g is greater than or equal to (n - 2)/2, then there are no non-trivial $L^2$ harmonic 1-forms on (M, g). We also show that any multiplication of the total differential df by a function cannot be an $L^2$ harmonic 1-form unless it is trivial. Finally, we derive various integral properties involving the potential function f and $L^2$ harmonic 1-forms, and handle their applications.

Multifractal analysis of social media use in financial markets

Oh Gabjin 한국물리학회 2022 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.80 No.6

We analyze the nonlinear properties of social media activity(SMA) using the multifractal detrended fluctuation analysis (MF-DFA) method. Social media data related to the stock market are gathered from social media platforms. Using data on over 2000 firms in the Korean stock market for 2018–2020, we study social media activity and its differences to evaluate associated nonlinear and statistical properties. We find that the cumulative distribution function of SMA follows a stretched exponential distribution with = 0.85 . The Hurst exponent of SMA for three datasets (2018, 2019, 2020 year) is larger than 0.9, whereas the Hurst exponents of shuffled time series have values of approximately 0.5. In particular, we find a multifractal structure in both SMA and SMA difference results irrespective of the period and degree of multifractality defined as max − min , which reaches a maximum value during the COVID-19 pandemic as a financial crisis.

An Explicit Example of Symplectic Manifold but not Kaehler

Yun,Gabjin 명지대학교 자연과학연구소 1996 자연과학논문집 Vol.14 No.-

We give an explicit example of compact 4-manifold admiting a symplectic structure but not Kaehler structure.

Bach-flat h-almost gradient Ricci solitons

Yun, Gabjin,Co, Jinseok,Hwang, Seungsu Mathematical Sciences Publishers 2017 Pacific journal of mathematics Vol.288 No.2