Hurst exponents in futures exchange markets

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The dynamical behavior of the Korean treasury bond (KTB) futures is investigated using a modified rescaled range (R/S) analysis. Lo's modified R/S analysis as well as classical Hurst's R/S statistics are utilized in order to analyze tick data of KTB futures. The Hurst exponent can be estimated by both classical and modified R/S statistics. The results of this study show that a series of returns has larger long-term correlation as the time lag increases. The Hurst exponent that shows a memory effect for the tick data of KTB futures is larger than 0.5, while the Hurst exponent has a value of nearly 0.5 for the corresponding shuffled data.
Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
Issue Date
2006-12
Language
English
Article Type
Article
Keywords

CONTINUOUS-TIME FINANCE; FRACTIONAL CALCULUS; STOCK-MARKET; BEHAVIOR; INDEX; GAMES

Citation

INTERNATIONAL JOURNAL OF MODERN PHYSICS C, v.17, pp.1831 - 1838

ISSN
0129-1831
URI
http://hdl.handle.net/10203/89249
Appears in Collection
PH-Journal Papers(저널논문)
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