DYNAMICAL BEHAVIOR OF CONTINUOUS TICK DATA IN FUTURES EXCHANGE MARKET-Reference-Cited by-同舟云学术

DYNAMICAL BEHAVIOR OF CONTINUOUS TICK DATA IN FUTURES EXCHANGE MARKET

Published:2003-06 Issue:02 Volume:11 Page:131-136
ISSN:0218-348X
Container-title:Fractals
language:en
Short-container-title:Fractals

Author:

KIM KYUNGSIK¹,YOON SEONG-MIN²

Affiliation:

1. Department of Physics, Pukyong National University, 599-1 Daeyeon-dong, Pusan 608-737, Korea

2. Division of Economics, Pukyong National University, 599-1 Daeyeon-dong, Pusan 608-737, Korea

Abstract

We study the tick dynamical behavior of the bond futures in Korean Futures Exchange (KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond (KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents β = 0.82 (KTB203) and 0.90 (KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability ∊ = 17 and 18 decayed rapidly in large time limit, and our results are compared with recent numerical calculations.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Geometry and Topology,Modelling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218348X03002142

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