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Analysis of price fluctuations in futures exchange markets
journal contribution
posted on 2023-06-08, 18:25 authored by Gyuchang Lim, SooYong Kim, Enrico ScalasEnrico Scalas, Kyungsik KIm, Ki-Ho ChangWe show that the fluctuations of the tick-by-tick logarithmic price in a futures market can be described in terms of the Fokker–Planck equation (FPE). We calculate the corresponding drift and diffusion coefficients and argue that these values can contain some information pertaining to the market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence.
History
Publication status
- Published
Journal
Physica A: Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
12Volume
387Page range
2823-2830Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes