Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets

Gyuchang Lim, Soo Yong Kim, Kyungsik Kim, Dong In Lee, Enrico Scalas

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Abstract

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 power-law distribution of inter-out-of-equilibrium state intervals is shown and we present an analogy with discrete-time heat bath dynamics, similar to random Ising systems. In the mean-field approximation, this model reduces to a one-dimensional multiplicative process. By varying global and local model parameters, the relevance between volatilities in financial markets and the interaction strengths between agents in the Ising model are investigated and discussed.

Lingua originaleInglese
pagine (da-a)2831-2836
Numero di pagine6
RivistaPhysica A: Statistical Mechanics and its Applications
Volume387
Numero di pubblicazione12
DOI
Stato di pubblicazionePubblicato - 1 mag 2008
Pubblicato esternamente

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