Return interval analysis of the Korean stock market = Return interval을 통한 한국 주식시장의 분석

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We investigate return intervals property in the Korean stock market. Previous studies found the memory effect and the scaling feature of scaled CDF in foreign exchange market and various stock markets including US, Japanese and Chinese stock market. In this study, we test the generality of the findings by analzing the Korean market data with KS-test. The rather different result is observed in the Korean market. The Korean market are not follow stretched exponent and do not collapse as a single curve. The memory effects are shown as previous study.
Advisors
Moon, Hie-Taeresearcher문희태researcher
Description
한국과학기술원 : 물리학과,
Publisher
한국과학기술원
Issue Date
2009
Identifier
327256/325007  / 020073498
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 물리학과, 2009. 8., [ ii, 37 p. ]

Keywords

경제물리; 지연시간; 메모리; 클러스터링; econophysics; Return interval; Memory; Clustering

URI
http://hdl.handle.net/10203/48743
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=327256&flag=dissertation
Appears in Collection
PH-Theses_Master(석사논문)
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