TY - JOUR
T1 - Dynamics of avalanche activities in financial markets
AU - Kim, Cheol Hyun
AU - Park, C. H.
AU - Kim, Soo Yong
AU - Kim, Kyungsik
AU - Scalas, Enrico
PY - 2007/1
Y1 - 2007/1
N2 - We study the dynamical properties of avalanche activities in the Korean Treasury Bond (KTB) futures price and the S&P 500 stock index. We apply the detrended fluctuation analysis, multiscale sample entropy and wavelet coefficient correlation to them, which revealed the scale-free dynamics of the bursting time series, avalanche size, and laminar time. We found that the laminar time and the avalanche size are anti-correlated in a short scale but in a large scale strongly correlated in KTB503, and are strongly correlated over all scales in S&P 500.
AB - We study the dynamical properties of avalanche activities in the Korean Treasury Bond (KTB) futures price and the S&P 500 stock index. We apply the detrended fluctuation analysis, multiscale sample entropy and wavelet coefficient correlation to them, which revealed the scale-free dynamics of the bursting time series, avalanche size, and laminar time. We found that the laminar time and the avalanche size are anti-correlated in a short scale but in a large scale strongly correlated in KTB503, and are strongly correlated over all scales in S&P 500.
KW - Detrended fluctuation analysis
KW - Multiscale sample entropy
KW - Volatility clustering
KW - Wavelet correlation coefficient analysis
UR - http://www.scopus.com/inward/record.url?scp=33847700123&partnerID=8YFLogxK
U2 - 10.1142/S0129183107010322
DO - 10.1142/S0129183107010322
M3 - Article
SN - 0129-1831
VL - 18
SP - 119
EP - 127
JO - International Journal of Modern Physics C
JF - International Journal of Modern Physics C
IS - 1
ER -