3,846 research outputs found
Relationship between degree of efficiency and prediction in stock price changes
This study investigates empirically whether the degree of stock market
efficiency is related to the prediction power of future price change using the
indices of twenty seven stock markets. Efficiency refers to weak-form efficient
market hypothesis (EMH) in terms of the information of past price changes. The
prediction power corresponds to the hit-rate, which is the rate of the
consistency between the direction of actual price change and that of predicted
one, calculated by the nearest neighbor prediction method (NN method) using the
out-of-sample. In this manuscript, the Hurst exponent and the approximate
entropy (ApEn) are used as the quantitative measurements of the degree of
efficiency. The relationship between the Hurst exponent, reflecting the various
time correlation property, and the ApEn value, reflecting the randomness in the
time series, shows negative correlation. However, the average prediction power
on the direction of future price change has the strongly positive correlation
with the Hurst exponent, and the negative correlation with the ApEn. Therefore,
the market index with less market efficiency has higher prediction power for
future price change than one with higher market efficiency when we analyze the
market using the past price change pattern. Furthermore, we show that the Hurst
exponent, a measurement of the long-term memory property, provides more
significant information in terms of prediction of future price changes than the
ApEn and the NN method.Comment: 10 page
Gravity model explained by the radiation model on a population landscape
Understanding the mechanisms behind human mobility patterns is crucial to
improve our ability to optimize and predict traffic flows. Two representative
mobility models, i.e., radiation and gravity models, have been extensively
compared to each other against various empirical data sets, while their
fundamental relation is far from being fully understood. In order to study such
a relation, we first model the heterogeneous population landscape by generating
a fractal geometry of sites and then by assigning to each site a population
independently drawn from a power-law distribution. Then the radiation model on
this population landscape, which we call the radiation-on-landscape (RoL)
model, is compared to the gravity model to derive the distance exponent in the
gravity model in terms of the properties of the population landscape, which is
confirmed by the numerical simulations. Consequently, we provide a possible
explanation for the origin of the distance exponent in terms of the properties
of the heterogeneous population landscape, enabling us to better understand
mobility patterns constrained by the travel distance.Comment: 14 pages, 4 figure
The effect of a market factor on information flow between stocks using minimal spanning tree
We empirically investigated the effects of market factors on the information
flow created from N(N-1)/2 linkage relationships among stocks. We also examined
the possibility of employing the minimal spanning tree (MST) method, which is
capable of reducing the number of links to N-1. We determined that market
factors carry important information value regarding information flow among
stocks. Moreover, the information flow among stocks evidenced time-varying
properties according to the changes in market status. In particular, we noted
that the information flow increased dramatically during periods of market
crises. Finally, we confirmed, via the MST method, that the information flow
among stocks could be assessed effectively with the reduced linkage
relationships among all links between stocks from the perspective of the
overall market
Dynamics of clustered opinions in complex networks
A simple model for simulating tug of war game as varying the player number in
a team is discussed to identify the slow pace of fast change. This model shows
that a large number of information sources leads slow change for the system.
Also, we introduce an opinion diffusion model including the effect of a high
degree of clustering. This model shows that the de facto standard and lock-in
effect, well-known phenomena in economics and business management, can be
explained by the network clusters.Comment: 11 pages, 2 figure
Sleepless in Seoul: `The Ant and the Metrohopper'
One of Aesop's (La Fontain's) famous fables `The Ant and the Grasshopper' is
widely known to give a moral lesson through comparison between the hard working
ant and the party-loving grasshopper. Here we show a slightly different version
of this fable, namely, "The Ant and the Metrohopper," which describes human
mobility patterns in modern urban life. Numerous real transportation networks
and the trajectory data have been studied in order to understand mobility
patterns. We study trajectories of commuters on the public transportation of
Metropolitan Seoul, Korea. Smart cards (Integrated Circuit Cards; ICCs) are
used in the public transportation system, which allow collection of transit
transaction data, including departure and arrival stations and time. This
empirical analysis provides human mobility patterns, which impact traffic
forecasting and transportation optimization, as well as urban planning.Comment: to be appeared in Journal of the Korean Physical Societ
Statistical Analysis of the Metropolitan Seoul Subway System: Network Structure and Passenger Flows
The Metropolitan Seoul Subway system, consisting of 380 stations, provides
the major transportation mode in the metropolitan Seoul area. Focusing on the
network structure, we analyze statistical properties and topological
consequences of the subway system. We further study the passenger flows on the
system, and find that the flow weight distribution exhibits a power-law
behavior. In addition, the degree distribution of the spanning tree of the
flows also follows a power law.Comment: 10 pages, 4 figure
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