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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

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