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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