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
Power law of quiet time distribution in the Korean stock-market
โ Scribed by Byoung Hee Hong; Kyoung Eun Lee; Jae Woo Lee
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 257 KB
- Volume
- 377
- Category
- Article
- ISSN
- 0378-4371
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๐ SIMILAR VOLUMES
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s w
We survey a theory (first sketched in Nature in 2003, then fleshed out in the Quarterly Journal of Economics in 2006) of the economic underpinnings of the fat-tailed distributions of a number of financial variables, such as returns and trading volume. Our theory posits that they have a common origin