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College of Natural Sciences(자연과학대학)Dept. of Physics(물리학과)PH-Journal Papers(저널논문)

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

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dc.contributor.authorYang, Jae Sukko
dc.contributor.authorChae, Seung Byungko
dc.contributor.authorJung, Woo Sungko
dc.contributor.authorMoon, Hie Taeko
dc.date.accessioned2013-03-08T01:07:32Z-
dc.date.available2013-03-08T01:07:32Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2006-05-
dc.identifier.citationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.363, no.2, pp.377 - 382-
dc.identifier.issn0378-4371-
dc.identifier.urihttp://hdl.handle.net/10203/91672-
dc.description.abstractIn 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.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.titleMicroscopic spin model for the dynamics of the return distribution of the Korean stock market index-
dc.typeArticle-
dc.identifier.wosid000236522900022-
dc.identifier.scopusid2-s2.0-33644867245-
dc.type.rimsART-
dc.citation.volume363-
dc.citation.issue2-
dc.citation.beginningpage377-
dc.citation.endingpage382-
dc.citation.publicationnamePHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS-
dc.identifier.doi10.1016/j.physa.2005.12.039-
dc.contributor.localauthorYang, Jae Suk-
dc.contributor.localauthorMoon, Hie Tae-
dc.contributor.nonIdAuthorChae, Seung Byung-
dc.contributor.nonIdAuthorJung, Woo Sung-
dc.type.journalArticleArticle-
dc.subject.keywordAuthoreconophysics-
dc.subject.keywordAuthoremerging market-
dc.subject.keywordAuthorlog return-
dc.subject.keywordAuthorpower-law distribution-
dc.subject.keywordAuthorexponential distribution-
dc.subject.keywordPlusFINANCIAL-MARKETS-
dc.subject.keywordPlusHERD BEHAVIOR-
dc.subject.keywordPlusFLUCTUATIONS-
dc.subject.keywordPlusVOLATILITY-
dc.subject.keywordPlusECONOMICS-
dc.subject.keywordPlusPRICES-
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RIMS Journal PapersPH-Journal Papers(저널논문)
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