Analysis of price fluctuations in futures exchange markets
journal contribution
posted on 2023-06-08, 18:25authored byGyuchang Lim, SooYong Kim, Enrico Scalas, Kyungsik KIm, Ki-Ho Chang
We 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 Applications