DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Sun-Young | ko |
dc.contributor.author | Hwang, Dong-Il | ko |
dc.contributor.author | Kim, Min-Jae | ko |
dc.contributor.author | Koh, In-Gyu | ko |
dc.contributor.author | Kim, Soo-Yong | ko |
dc.date.accessioned | 2013-03-11T21:13:02Z | - |
dc.date.available | 2013-03-11T21:13:02Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2011-03 | - |
dc.identifier.citation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.390, no.5, pp.837 - 846 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.uri | http://hdl.handle.net/10203/100299 | - |
dc.description.abstract | We study the cross-correlations of buy and sell volumes on the Korean stock market in high frequency. We observe that the pulling effects of volumes are as small as that of returns. The properties of the correlations of buy and sell volumes differ. They are explained by the degree of synchronization of stock volumes. Further, the pulling effects on the minimal spanning tree are studied. In minimal spanning trees with directed links, the large pulling effects are clustered at the center, not uniformly distributed. The Epps effect of buy and sell volumes are observed. The reversal of the cross-correlations of buy and sell volumes is also detected. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | FINANCIAL-MARKETS | - |
dc.subject | STATISTICAL PROPERTIES | - |
dc.subject | FLUCTUATIONS | - |
dc.subject | VOLATILITY | - |
dc.subject | RETURNS | - |
dc.title | Cross-correlations in volume space: Differences between buy and sell volumes | - |
dc.type | Article | - |
dc.identifier.wosid | 000287053600008 | - |
dc.identifier.scopusid | 2-s2.0-78650934775 | - |
dc.type.rims | ART | - |
dc.citation.volume | 390 | - |
dc.citation.issue | 5 | - |
dc.citation.beginningpage | 837 | - |
dc.citation.endingpage | 846 | - |
dc.citation.publicationname | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.identifier.doi | 10.1016/j.physa.2010.11.012 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Koh, In-Gyu | - |
dc.contributor.localauthor | Kim, Soo-Yong | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Cross-correlations | - |
dc.subject.keywordAuthor | Volumes | - |
dc.subject.keywordAuthor | Pulling effect | - |
dc.subject.keywordAuthor | Minimal spanning tree | - |
dc.subject.keywordAuthor | Epps effect | - |
dc.subject.keywordAuthor | Frequency scale | - |
dc.subject.keywordAuthor | Synchronization | - |
dc.subject.keywordPlus | FINANCIAL-MARKETS | - |
dc.subject.keywordPlus | STATISTICAL PROPERTIES | - |
dc.subject.keywordPlus | FLUCTUATIONS | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | RETURNS | - |
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