TY - JOUR
T1 - Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets
AU - Lim, Gyuchang
AU - Kim, Soo Yong
AU - Kim, Kyungsik
AU - Lee, Dong In
AU - Scalas, Enrico
N1 - Funding Information:
This work was supported by Grand No. R01-2006-000-10470-0 from the Basic Program of the Korea Science and Engineering Foundation and by the Korea Foundation for International Cooperation of Science and Technology (KICOS) through a grant provided by the Korean Ministry of Science and Technology (MOST) in 2006 (No. 2006-03874).
PY - 2008/5/1
Y1 - 2008/5/1
N2 - 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.
AB - 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.
KW - Critical volatility
KW - Equilibrium and out-of-equilibrium states
KW - KTB
KW - Two-phase phenomenon
UR - http://www.scopus.com/inward/record.url?scp=40249092853&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2008.01.041
DO - 10.1016/j.physa.2008.01.041
M3 - Article
SN - 0378-4371
VL - 387
SP - 2831
EP - 2836
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 12
ER -