Analysis of price fluctuations in futures exchange markets

Lim, Gyuchang, Kim, SooYong, Scalas, Enrico, KIm, Kyungsik and Chang, Ki-Ho (2008) Analysis of price fluctuations in futures exchange markets. Physica A: Statistical Mechanics and its Applications, 387 (12). pp. 2823-2830. ISSN 0378-4371

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Abstract

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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0276 Mathematical statistics
Depositing User: Enrico Scalas
Date Deposited: 26 Sep 2014 06:16
Last Modified: 26 Sep 2014 06:16
URI: http://srodev.sussex.ac.uk/id/eprint/50259
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