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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
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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
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Tsallis non-extensive statistical mechanics of El Niño southern oscillation index
Ausloos, M.; Petroni, F. - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 721-736
The shape and tails of partial distribution functions (PDF) for a climatological signal, i.e., the El Niño SOI and the turbulent nature of the ocean–atmosphere variability are linked through a model encompassing Tsallis non-extensive statistics and leading to evolution equations of the...
Persistent link: https://www.econbiz.de/10011057773