Multifractal measures for bond futures prices in futures exchange market

被引：3

作者：

Kim, K ^{[1
]}

Yoon, SM

机构：

[1] Pukyong Natl Univ, Dept Phys, Pusan 608737, South Korea

[2] Pukyong Natl Univ, Div Econ, Pusan 608737, South Korea

来源：

JOURNAL OF THE PHYSICAL SOCIETY OF JAPAN | 2004年 / 73卷 / 01期

关键词：

won-dollar exchange rate; KOSPI; Hurst exponent; height-height correlation; R/S analysis;

D O I：

10.1143/JPSJ.73.49

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We study the tick dynamical behavior of the bond futures price using the rescaled range analysis (R/S analysis) in Korean futures exchange market. For our case, the multifractal Hurst exponents with long-run memory effects can be obtained from two kinds of Korean treasury bond futures transacted recently. It exists no crossover for the Hurst exponents at charateristic time scales. Particularly, we find that our result for probability distribution of prices is similar to a Lorentz distribution different from fat-tailed properties of bond futures price.

引用

页码：49 / 52

页数：4

共 29 条

[1]

AIBA Y, CONDMAT0202391

[2] Multifractal Hurst analysis of crude oil prices [J].