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Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets
journal contribution
posted on 2023-06-08, 18:25 authored by Gyuchang Lim, SooYong Kim, Kyungsik Kim, Dong-In Lee, Enrico ScalasA recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The power-law distribution of inter-out-of-equilibrium state intervals is shown and we present an analogy with discrete-time heat bath dynamics, similar to random Ising systems. In the mean-field approximation, this model reduces to a one-dimensional multiplicative process. By varying global and local model parameters, the relevance between volatilities in financial markets and the interaction strengths between agents in the Ising model are investigated and discussed.
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Publication status
- Published
Journal
Physica A: Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
12Volume
387Page range
2831-2836Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-26Usage metrics
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