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...

Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this study. To show that the two-phase phenomena are due to heavy-tailed behavior of distribution of price returns, actual data from the KTB futures market with shuffled data and a...

We show that the fluctuations of the tick-by-tick logarithmic price in a futures market can be described in terms of the Fokker–Planck equation (FPE). We calculate the corresponding drift and diffusion coefficients and argue that these values can contain some information pertaining to the...

A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) futures from which the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. In this study, the logarithmic increment of futures prices has no long-memory...

We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S&P 500 stock index, which can be described by means of the Fokker–Planck equation. We show that the Fokker–Planck equation and the Langevin equation...