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Probability distribution function and multiscaling properties in the Korean stock market

โœ Scribed by Kyoung Eun Lee; Jae Woo Lee

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
190 KB
Volume
383
Category
Article
ISSN
0378-4371

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โœฆ Synopsis

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 investigate the multifractality in the Korean stock market. We consider the multifractality by the detrended fluctuation analysis (MFDFA). We observed the multiscaling behaviors for index, return, traded volume, and the changes of the traded volume. We apply MFDFA method for the randomly shuffled time series to observe the effects of the autocorrelations. The multifractality is strongly originated from the long time correlations of the time series.

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