Analysis of price fluctuations in futures exchange markets

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

Risultato della ricerca: Contributo su rivistaArticolo in rivistapeer 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.

Lingua originaleInglese
pagine (da-a)2823-2830
Numero di pagine8
RivistaPhysica A: Statistical Mechanics and its Applications
Volume387
Numero di pubblicazione12
DOI
Stato di pubblicazionePubblicato - 1 mag 2008
Pubblicato esternamente

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