Probability distribution function and multiscaling properties in the Korean stock market

被引：33
作者：
Lee, Kyoung Eun [1 ]
Lee, Jae Woo [1 ]
机构：
[1] Inha Univ, Dept Phys, Inchon 402751, South Korea
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 383卷 / 01期
关键词：
econophysics; probability density function; multifractality; detrended fluctuation analysis; stock market;
D O I：
10.1016/j.physa.2007.04.112
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We consider the probability distribution function (pdf) and the multiscaling properties of the index and the traded volume in the Korean stock market. We observed the power law of the pdf at the fat tail region for the return, volatility, the traded volume, and changes of the traded volume. We also investigate the multifractality in the Korean stock market. We consider the multifractality by the detrended fluctuation analysis (MFDFA). We observed the multiscaling behaviors for index. return, traded volume, and the changes of the traded volume. We apply MFDFA method for the randomly shuffled time series to observe the effects of the autocorrelations. The multifractality is strongly originated from the long time correlations of the time series. (c), 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：65 / 70
页数：6
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