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
✦ LIBER ✦
The persistence probability and the price–price correlation functions in the Korean stock market
✍ Scribed by Doo Hwan Kim; Moon-Yong Cha; Jae Woo Lee
- Book ID
- 108107625
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 159 KB
- Volume
- 182
- Category
- Article
- ISSN
- 0010-4655
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## Abstract In this paper, we develop models for estimating the time varying probability that there will be a price reversal in the property market. Knowledge of such price reversals may be helpful in forming property trading strategies, and providing confirming evidence of turning points in proper