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Dynamical mechanism of two-phase phenomena in financial markets

โœ Scribed by Gyuchang Lim; Soo Yong Kim; Kyungsik Kim; Dong-In Lee; Sang-Bum Park

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
357 KB
Volume
386
Category
Article
ISSN
0378-4371

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โœฆ Synopsis

Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this study. To show that the two-phase phenomena are due to heavy-tailed behavior of distribution of price returns, actual data from the KTB futures market with shuffled data and a generated time series are examined according to the Brownian process. In addition, we study the correlation inherent in the KTB futures and its Brownian walk, describing the extent to which the volatility clustering plays a crucial role in equilibrium and nonequilibrium states of financial markets. It is shown that the two-phase behavior essentially results from heavy-tailed behavior of the distribution of price returns. This

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