Microscopic spin model for the dynamics of the return distribution of the Korean stock market index

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In this paper, we Studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, We found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market. (c) 2006 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2006-05
Language
English
Article Type
Article
Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.363, no.2, pp.377 - 382

ISSN
0378-4371
DOI
10.1016/j.physa.2005.12.039
URI
http://hdl.handle.net/10203/91672
Appears in Collection
RIMS Journal PapersPH-Journal Papers(저널논문)
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