DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Moon, Hie-Tae | - |
dc.contributor.advisor | 문희태 | - |
dc.contributor.author | Yang, Jae-Suk | - |
dc.contributor.author | 양재석 | - |
dc.date.accessioned | 2011-12-14T07:24:58Z | - |
dc.date.available | 2011-12-14T07:24:58Z | - |
dc.date.issued | 2006 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=258071&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/47409 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 물리학과, 2006.8, [ viii, 44 p. ] | - |
dc.description.abstract | 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. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | stock market | - |
dc.subject | 행위자 기반 모형 | - |
dc.subject | log return | - |
dc.subject | entropy | - |
dc.subject | complexity | - |
dc.subject | EMH | - |
dc.subject | agent-based model | - |
dc.subject | 로그리턴 | - |
dc.subject | 복잡도 | - |
dc.subject | 엔트로피 | - |
dc.subject | 주식시장 | - |
dc.subject | 효율적시장가설 | - |
dc.title | (The) study of information flows in financial markets from the viewpoint of complex systems | - |
dc.title.alternative | 금융시장의 통계적 특성과 정보 흐름의 관계에 관한 복잡계 관점의 연구 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 258071/325007 | - |
dc.description.department | 한국과학기술원 : 물리학과, | - |
dc.identifier.uid | 020035170 | - |
dc.contributor.localauthor | Yang, Jae-Suk | - |
dc.contributor.localauthor | 양재석 | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.