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

Detrended fluctuation analysis in the Korean bond futures exchange market

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dc.contributor.authorJo, HHko
dc.contributor.authorKim, Soo Yongko
dc.contributor.authorKim, Kko
dc.date.accessioned2013-03-08T03:51:00Z-
dc.date.available2013-03-08T03:51:00Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2006-10-
dc.identifier.citationJOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.49, pp.1691 - 1693-
dc.identifier.issn0374-4884-
dc.identifier.urihttp://hdl.handle.net/10203/92058-
dc.description.abstractThe Korean treasury bond (KTB) futures is analyzed by calculating the probability distribution functions of the absolute log returns in the Korean futures exchange market. A detrended fluctuation analysis (DFA) is applied in order to detect the long-range correlation embedded in the non-stationary time series. We found in this study that a persistent long-range correlation exists. In particular, the crossovers for two time intervals of transactions, Delta t = 1 and 10 min, are shown to exist approximately at 100 and 600 min, respectively.-
dc.languageEnglish-
dc.publisherKOREAN PHYSICAL SOC-
dc.subjectSTATISTICAL PROPERTIES-
dc.subjectPRICE-INDEX-
dc.subjectVOLATILITY-
dc.subjectBEHAVIOR-
dc.titleDetrended fluctuation analysis in the Korean bond futures exchange market-
dc.typeArticle-
dc.identifier.wosid000241290000062-
dc.identifier.scopusid2-s2.0-33751058544-
dc.type.rimsART-
dc.citation.volume49-
dc.citation.beginningpage1691-
dc.citation.endingpage1693-
dc.citation.publicationnameJOURNAL OF THE KOREAN PHYSICAL SOCIETY-
dc.contributor.localauthorKim, Soo Yong-
dc.contributor.nonIdAuthorJo, HH-
dc.contributor.nonIdAuthorKim, K-
dc.type.journalArticleArticle-
dc.subject.keywordAuthordetrended fluctuation analysis-
dc.subject.keywordAuthorKTB-
dc.subject.keywordAuthorscaling exponent-
dc.subject.keywordPlusSTATISTICAL PROPERTIES-
dc.subject.keywordPlusPRICE-INDEX-
dc.subject.keywordPlusVOLATILITY-
dc.subject.keywordPlusBEHAVIOR-
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