Dynamics of avalanche activities in financial markets

Kim, Cheol-Hyun, Park, C H, Kim, Soo Yong, Kim, Kyungsik and Scalas, Enrico (2007) Dynamics of avalanche activities in financial markets. International Journal of Modern Physics C, 18 (1). pp. 119-127. ISSN 0129-1831

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Abstract

We study the dynamical properties of avalanche activities in the Korean Treasury Bond (KTB) futures price and the S&P 500 stock index. We apply the detrended fluctuation analysis, multiscale sample entropy and wavelet coefficient correlation to them, which revealed the scale-free dynamics of the bursting time series, avalanche size, and laminar time. We found that the laminar time and the avalanche size are anti-correlated in a short scale but in a large scale strongly correlated in KTB503, and are strongly correlated over all scales in S&P 500.

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: 29 Sep 2014 10:46
Last Modified: 29 Sep 2014 10:46
URI: http://srodev.sussex.ac.uk/id/eprint/50272
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