Multifractal Measures for Bond Futures Prices in Futures Exchange Market(General)

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概要

• 論文の詳細を見る

• 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 longrun 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.

• 社団法人日本物理学会の論文
• 2004-01-15

著者

• KIM Kyungsik

  Department of Physics, Pukyong National University

• Kim Kyungsik

  Department Of Physics Pukyong National University

• Yoon Seong-min

  Division Of Economics Pukyong National University

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