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SCIESCOPUS

Asymmetric market efficiency using the index-based asymmetric-MFDFA Go to Link

Lee, Minhyuk; Song, Jae Wook; Kim, Sondo; Chang, Woojin

ArticleIssue Date2018CitationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.512, pp.1278 - 1294PublisherELSEVIER SCIENCE BV

SCIESCOPUS

Cluster analysis on the structure of the cryptocurrency market via Bitcoin-Ethereum filtering Go to Link

Song, Jung Yoon; Chang, Woojin; Song, Jae Wook

ArticleIssue Date2019CitationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.527, pp.1 - 16PublisherELSEVIER SCIENCE BV

SCIESCOPUS

Crash forecasting in the Korean stock market based on the log-periodic structure and pattern recognition Go to Link open access

Ko, Bonggyun; Song, Jae Wook; Chang, Woojin

ArticleIssue Date2018CitationPhysica A: Statistical Mechanics and its Applications, v.492, pp.308 - 323PublisherELSEVIER SCIENCE BV

SCIESCOPUS

Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree Go to Link

Song, JaeWook; Ko, Bonggyun; Chang, Woojin

ArticleIssue Date2018CitationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.491, pp.289 - 304PublisherELSEVIER SCIENCE BV

SCIESCOPUS

Time-varying causal network of the Korean financial system based on firm-specific risk premiums Go to Link

Song, Jae Wook; Ko, Bonggyun; Cho, Poongjin; Chang, Woojin

ArticleIssue Date2016CitationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.458, pp.287 - 302PublisherELSEVIER SCIENCE BV

SCIESCOPUS

Multifractal Value at Risk model Go to Link

Lee, Hojin; Song, Jae Wook; Chang, Woojin

ArticleIssue Date2016CitationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.451, pp.113 - 122PublisherELSEVIER SCIENCE BV

SCIESCOPUS

Link prediction in the Granger causality network of the global currency market Go to Link

Park, Ji Hwan; Chang, Woojin; Song, Jae Wook

ArticleIssue Date2020CitationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.553, pp.1 - 26PublisherELSEVIER

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