๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Power law of quiet time distribution in the Korean stock-market

โœ 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

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Probability distribution function and mu
โœ Kyoung Eun Lee; Jae Woo Lee ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 190 KB

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

Microscopic spin model for the dynamics
โœ Jae-Suk Yang; Seungbyung Chae; Woo-Sung Jung; Hie-Tae Moon ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 401 KB

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

A unified econophysics explanation for t
โœ Xavier Gabaix; Parameswaran Gopikrishnan; Vasiliki Plerou; Eugene Stanley ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 186 KB

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