(The) study of information flows in financial markets from the viewpoint of complex systems = 금융시장의 통계적 특성과 정보 흐름의 관계에 관한 복잡계 관점의 연구

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I studied the dynamics of the log-return distribution of the stock price index of Korea, U. S. and Japan. Based on the microscopic spin model, I 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. I also studied the temporal evolution of complexity and entropy density of stock market by modeling ²-machine of the Korean composition stock price index (KOSPI) using causal- state splitting reconstruction (CSSR) algorithm. The dynamics of complexity, entropy den- sity and shape of probability distribution function was simulated by the microscopic spin model.
Advisors
Moon, Hie-Taeresearcher문희태researcher
Description
한국과학기술원 : 물리학과,
Publisher
한국과학기술원
Issue Date
2006
Identifier
258071/325007  / 020035170
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 물리학과, 2006.8, [ viii, 44 p. ]

Keywords

stock market; 행위자 기반 모형; log return; entropy; complexity; EMH; agent-based model; 로그리턴; 복잡도; 엔트로피; 주식시장; 효율적시장가설

URI
http://hdl.handle.net/10203/47409
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=258071&flag=dissertation
Appears in Collection
PH-Theses_Ph.D.(박사논문)
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