대한산업공학회지 (Journal of Korean Institute of Industrial Engineers)

  • 제29권1호
  • /
  • Pages.14-20
  • /
  • 2003
  • /
  • 1225-0988(pISSN)
  • /
  • 2234-6457(eISSN)
대한산업공학회 (Korean Institute of Industrial Engineers)
권호 표지

Lotka-Volterra 모형을 이용한 국내 주식시장의 경쟁관계 동태적 분석

A Dynamic Analysis on the Competition Relationships in Korean Stock Market Using Lotka-Volterra Model

  • 이성준 (서울대학교 산업공학과) ;
  • 이덕주 (경희대학교 테크노공학대학) ;
  • 오형식 (서울대학교 산업공학과)
  • Lee, Sung Joon (Department of Industrial Engineering, Seoul National University) ;
  • Lee, Deok-Joo (College of Advanced Technology, Kyunghee University) ;
  • Oh, Hyungsik (Department of Industrial Engineering, Seoul National University)
  • 발행 : 2003.03.31
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초록

The purpose of this paper is an attempt to analyze the dynamic relationship between KSE and KOSDAQ, two competing markets in Korean stock market, in the viewpoint of competition. Lotka-Volterra model, one of well-known competitive diffusion model, is adopted to represent the competitive situations of Korean stock market and it is estimated using daily empirical index data of KSE and KOSDAQ during 1997~2001. The results show that there existed a predator-prey relationship between two markets in which KSE acted as a predator right after the emergence of KOSDAQ. This interaction was altered to a symbiotic relationship and finally to the pure competition relationship. We also perform an equilibrium analysis of the estimated Lotka-Volterra equations and, as a result, it is found that there is a market index equilibrium point that would be stable in the latest relationship.

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참고문헌

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