Analysis of price fluctuations in futures exchange markets

Gyuchang Lim; Soo Yong Kim; Enrico Scalas; Kyungsik Kim; Ki Ho Chang

doi:10.1016/j.physa.2008.01.040

Analysis of price fluctuations in futures exchange markets

Gyuchang Lim
, Soo Yong Kim
, Enrico Scalas
, Kyungsik Kim
, Ki Ho Chang

Research output: Contribution to journal › Article › peer-review

Abstract

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 market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence.

Original language	English
Pages (from-to)	2823-2830
Number of pages	8
Journal	Physica A: Statistical Mechanics and its Applications
Volume	387
Issue number	12
DOIs	https://doi.org/10.1016/j.physa.2008.01.040
Publication status	Published - 1 May 2008
Externally published	Yes

Keywords

Drift and diffusion coefficients
Fokker-Planck equation
KTB
Kramers-Moyal coefficient

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10.1016/j.physa.2008.01.040

Cite this

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title = "Analysis of price fluctuations in futures exchange markets",

abstract = "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 market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence.",

keywords = "Drift and diffusion coefficients, Fokker-Planck equation, KTB, Kramers-Moyal coefficient",

author = "Gyuchang Lim and Kim, \{Soo Yong\} and Enrico Scalas and Kyungsik Kim and Chang, \{Ki Ho\}",

note = "Funding Information: This work was supported by Grant No. R01-2006-000-10470-0 and R01-2006-000-11233-0 from the Basic Program of the Korea Science and Engineering Foundation and by {\textquotedblleft}Development of METRI X-band Doppler Weather Radar Operations and Radar Data Analysis Technique{\textquotedblright} of METRI, KMA project.",

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doi = "10.1016/j.physa.2008.01.040",

language = "English",

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journal = "Physica A: Statistical Mechanics and its Applications",

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T1 - Analysis of price fluctuations in futures exchange markets

AU - Lim, Gyuchang

AU - Kim, Soo Yong

AU - Scalas, Enrico

AU - Kim, Kyungsik

AU - Chang, Ki Ho

N1 - Funding Information: This work was supported by Grant No. R01-2006-000-10470-0 and R01-2006-000-11233-0 from the Basic Program of the Korea Science and Engineering Foundation and by “Development of METRI X-band Doppler Weather Radar Operations and Radar Data Analysis Technique” of METRI, KMA project.

PY - 2008/5/1

Y1 - 2008/5/1

N2 - 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 market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence.

AB - 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 market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence.

KW - Drift and diffusion coefficients

KW - Fokker-Planck equation

KW - KTB

KW - Kramers-Moyal coefficient

UR - https://www.scopus.com/pages/publications/40249084035

U2 - 10.1016/j.physa.2008.01.040

DO - 10.1016/j.physa.2008.01.040

M3 - Article

SN - 0378-4371

VL - 387

SP - 2823

EP - 2830

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 12

ER -

Analysis of price fluctuations in futures exchange markets

Abstract

Keywords

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