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 originale | Inglese |
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pagine (da-a) | 2823-2830 |
Numero di pagine | 8 |
Rivista | Physica A: Statistical Mechanics and its Applications |
Volume | 387 |
Numero di pubblicazione | 12 |
DOI | |
Stato di pubblicazione | Pubblicato - 1 mag 2008 |
Pubblicato esternamente | Sì |