DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lim, Gyuchang | ko |
dc.contributor.author | Kim, Soo Yong | ko |
dc.contributor.author | Kim, Kyungsik | ko |
dc.contributor.author | Lee, Dong-In | ko |
dc.contributor.author | Park, Sang-Bum | ko |
dc.date.accessioned | 2010-03-04T07:51:51Z | - |
dc.date.available | 2010-03-04T07:51:51Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2007-12 | - |
dc.identifier.citation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.386, no.1, pp.253 - 258 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.uri | http://hdl.handle.net/10203/16937 | - |
dc.description.abstract | Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this study. To show that the two-phase phenomena are due to heavy-tailed behavior of distribution of price returns, actual data from the KTB futures market with shuffled data and a generated time series are examined according to the Brownian process. In addition, we study the correlation inherent in the KTB futures and its Brownian walk, describing the extent to which the volatility clustering plays a crucial role in equilibrium and nonequilibrium, states of financial markets. It is shown that the two-phase behavior essentially results from heavy-tailed behavior of the distribution of price returns. This two-phase behavior does not appear to be relevant to volatility clustering. (c) 2007 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en_US | en |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | MINORITY GAMES | - |
dc.subject | BEHAVIOR | - |
dc.subject | FUTURES | - |
dc.title | Dynamical mechanism of two-phase phenomena in financial markets | - |
dc.type | Article | - |
dc.identifier.wosid | 000251438800025 | - |
dc.identifier.scopusid | 2-s2.0-35148875637 | - |
dc.type.rims | ART | - |
dc.citation.volume | 386 | - |
dc.citation.issue | 1 | - |
dc.citation.beginningpage | 253 | - |
dc.citation.endingpage | 258 | - |
dc.citation.publicationname | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.identifier.doi | 10.1016/j.physa.2007.07.053 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Kim, Soo Yong | - |
dc.contributor.nonIdAuthor | Lim, Gyuchang | - |
dc.contributor.nonIdAuthor | Kim, Kyungsik | - |
dc.contributor.nonIdAuthor | Lee, Dong-In | - |
dc.contributor.nonIdAuthor | Park, Sang-Bum | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | two-phase phenomena | - |
dc.subject.keywordAuthor | KTB | - |
dc.subject.keywordAuthor | Brownian walk | - |
dc.subject.keywordAuthor | detrended fluctuation analysis | - |
dc.subject.keywordAuthor | fluctuation | - |
dc.subject.keywordPlus | MINORITY GAMES | - |
dc.subject.keywordPlus | BEHAVIOR | - |
dc.subject.keywordPlus | FUTURES | - |
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