Analysis of price fluctuations in futures exchange markets
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. (C) 2008 Elsevier B.V. All rights reserved.
- Publisher
- ELSEVIER SCIENCE BV
- Issue Date
- 2008-05
- Language
- English
- Article Type
- Article
- Keywords
FINANCIAL-MARKETS; MARKOV-PROCESSES; HURST EXPONENTS; TURBULENCE; CASCADES; DYNAMICS
- Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.387, no.12, pp.2823 - 2830
- ISSN
- 0378-4371
- Appears in Collection
- PH-Journal Papers(저널논문)
- Files in This Item
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