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Analysis of price fluctuations in futures exchange markets

Lim, Gyuchang; Kim, SooYong; Scalas, Enrico; Kim, Kyungsik - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2823-2830

(KTB) futures is well described by a FPE and has a similar structure to turbulence. …

Persistent link: https://www.econbiz.de/10010872528

Dynamical mechanism of two-phase phenomena in financial markets

Lim, Gyuchang; Yong Kim, Soo; Kim, Kyungsik; Lee, Dong-In; … - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 253-258

Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this … from the KTB futures market with shuffled data and a generated time series are examined according to the Brownian process …. In addition, we study the correlation inherent in the KTB futures and its Brownian walk, describing the extent to which …

Persistent link: https://www.econbiz.de/10010873445

Volatilities, traded volumes, and the hypothesis of price increments in derivative securities

Lim, Gyuchang; Kim, SooYong; Scalas, Enrico; Kim, Kyungsik - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 577-585

A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) futures from which …-order correlation not detected by with the direct application of the DFA to logarithmic increments of KTB futures, it is of importance …

Persistent link: https://www.econbiz.de/10010873990

Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets

Lim, Gyuchang; Kim, SooYong; Kim, Kyungsik; Lee, Dong-In; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2831-2836

A recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The...

Persistent link: https://www.econbiz.de/10010588859

Dynamical stochastic processes of returns in financial markets

Lim, Gyuchang; Kim, SooYong; Yoon, Seong-Min; Jung, Jae-Won - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 517-524

(KTB) futures and the S&P 500 stock index, which can be described by means of the Fokker–Planck equation. We show that the …

Persistent link: https://www.econbiz.de/10010589638

Multifractal analysis of managed and independent float exchange rates

Stošić, Darko; Stošić, Dusan; Stošić, Tatijana; … - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 13-18

We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning...

Persistent link: https://www.econbiz.de/10011209654

Multifractal properties of price change and volume change of stock market indices

Stošić, Dusan; Stošić, Darko; Stošić, Tatijana; … - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 46-51

We study auto-correlations and cross-correlations of daily price changes and daily volume changes of thirteen global stock market indices, using multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DXA). We find rather distinct...

Persistent link: https://www.econbiz.de/10011209718

Multifractal detrended fluctuation analysis of magnitude series of seismicity of Kachchh region, Western India

Aggarwal, S.K.; Lovallo, Michele; Khan, P.K.; Rastogi, B.K. - In: Physica A: Statistical Mechanics and its Applications 426 (2015) C, pp. 56-62

The sequence of magnitudes of the earthquakes occurred in Kachchh area (Gujarat, Western India) from 2003 to 2012, has been analysed by using the multifractal detrended fluctuation analysis. The complete and the aftershock-depleted catalogues with minimum magnitude M3 were investigated. Both...

Persistent link: https://www.econbiz.de/10011209719

Power spectrum analysis and multifractal detrended fluctuation analysis of Earth’s gravity time series

Telesca, Luciano; Lovallo, Michele; Mammadov, Samir; … - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 426-434

The time dynamics of gravity signal measured in Sheki, a site in Azerbaijan, where mainly crust deformation processes are present, is investigated by using the power spectrum method and the multifractal detrended fluctuation analysis. Our findings point out to the presence of two main...

Persistent link: https://www.econbiz.de/10011209728

Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis

Wang, Yudong; Wei, Yu; Wu, Chongfeng - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 817-827

In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month. For time...

Persistent link: https://www.econbiz.de/10010874425