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