Multifractality of the KOSPI in Korean stock market

被引：0
作者：
Lee, KE [1 ]
Lee, JW [1 ]
机构：
[1] Inha Univ, Dept Phys, Inchon 402751, South Korea
来源：
JOURNAL OF THE KOREAN PHYSICAL SOCIETY | 2005年 / 46卷 / 03期
关键词：
stock market; return; price changes; multifractality;
D O I：
暂无
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We consider the price and the return of the KOSPI in the Korean stock market. We use data recorded every minute from March 30, 1992, to November 30, 1999. We observed some stylized facts and multifractalities of KOSPI. We find multifractal nature for the price and logarithmic return through an R/S analysis with a q-th order height-height correlation function.
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收藏
页码：726 / 729
页数：4
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