DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, K | ko |
dc.contributor.author | Kim, Soo Yong | ko |
dc.contributor.author | Lee, M | ko |
dc.contributor.author | Yum, MK | ko |
dc.date.accessioned | 2013-03-07T03:05:54Z | - |
dc.date.available | 2013-03-07T03:05:54Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2006-12 | - |
dc.identifier.citation | INTERNATIONAL JOURNAL OF MODERN PHYSICS C, v.17, pp.1831 - 1838 | - |
dc.identifier.issn | 0129-1831 | - |
dc.identifier.uri | http://hdl.handle.net/10203/89249 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | WORLD SCIENTIFIC PUBL CO PTE LTD | - |
dc.subject | CONTINUOUS-TIME FINANCE | - |
dc.subject | FRACTIONAL CALCULUS | - |
dc.subject | STOCK-MARKET | - |
dc.subject | BEHAVIOR | - |
dc.subject | INDEX | - |
dc.subject | GAMES | - |
dc.title | Hurst exponents in futures exchange markets | - |
dc.type | Article | - |
dc.identifier.wosid | 000244055600012 | - |
dc.identifier.scopusid | 2-s2.0-33846347258 | - |
dc.type.rims | ART | - |
dc.citation.volume | 17 | - |
dc.citation.beginningpage | 1831 | - |
dc.citation.endingpage | 1838 | - |
dc.citation.publicationname | INTERNATIONAL JOURNAL OF MODERN PHYSICS C | - |
dc.contributor.localauthor | Kim, Soo Yong | - |
dc.contributor.nonIdAuthor | Kim, K | - |
dc.contributor.nonIdAuthor | Lee, M | - |
dc.contributor.nonIdAuthor | Yum, MK | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | modified rescaled range analysis | - |
dc.subject.keywordAuthor | KTB | - |
dc.subject.keywordAuthor | multifractal measure | - |
dc.subject.keywordAuthor | Hurst exponent | - |
dc.subject.keywordPlus | CONTINUOUS-TIME FINANCE | - |
dc.subject.keywordPlus | FRACTIONAL CALCULUS | - |
dc.subject.keywordPlus | STOCK-MARKET | - |
dc.subject.keywordPlus | BEHAVIOR | - |
dc.subject.keywordPlus | INDEX | - |
dc.subject.keywordPlus | GAMES | - |
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