Volatility and Returns in Korean Futures Exchange Markets
Statistical Mechanics
2008-12-10 v1 Statistical Finance
Abstract
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and volatility for bond futures are treated particularly at the long-time limit. The volatility for the price of our bond futures shows a power-law with anomalous scaling exponent, similar to other options. Our result presented will be compared with that of recent numerical calculations.
Cite
@article{arxiv.cond-mat/0311155,
title = {Volatility and Returns in Korean Futures Exchange Markets},
author = {Kyungsik Kim and Seong-Min Yoon and Jum Soo Choi},
journal= {arXiv preprint arXiv:cond-mat/0311155},
year = {2008}
}
Comments
13 Pages, 6 Figures