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Dynamical stochastic processes of returns in financial markets
Lim, Gyuchang; Kim, SooYong; Yoon, Seong-Min; Jung, Jae-Won - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 517-524
(KTB) futures and the S&P 500 stock index, which can be described by means of the Fokker–Planck equation. We show that the …
Persistent link: https://www.econbiz.de/10010589638
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On estimating a dynamic function of a stochastic system with averaging
Liptser, R.; Spokoiny, Vladimir G. - 1998
We consider a two-scaled diffusion system, when drift and diffusion parameters of the 'slow' component are contaminated by the ' fast' unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the 'slow' component w.r.t. the...
Persistent link: https://www.econbiz.de/10010309898
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On estimating a dynamic function of a stochastic system with averaging
Liptser, R.; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 1998
We consider a two-scaled diffusion system, when drift and diffusion parameters of the 'slow' component are contaminated by the ' fast' unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the 'slow' component w.r.t. the...
Persistent link: https://www.econbiz.de/10010956607
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A Langevin equation for the rates of currency exchange based on the Markov analysis
Farahpour, F.; Eskandari, Z.; Bahraminasab, A.; Jafari, G.R. - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 2, pp. 601-608
We propose a method for analyzing the data for the rates of exchange of various currencies versus the U.S. dollar. The method analyzes the return time series of the data as a Markov process, and develops an effective equation which reconstructs it. We find that the Markov time scale, i.e., the...
Persistent link: https://www.econbiz.de/10010591556
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On Estimating a Dynamic Function of a Stochastic System with Averaging
Liptser, R.; Spokoiny, V. - In: Statistical Inference for Stochastic Processes 3 (2000) 3, pp. 225-249
Persistent link: https://www.econbiz.de/10005391507
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Dynamical mechanism of two-phase phenomena in financial markets
Lim, Gyuchang; Yong Kim, Soo; Kim, Kyungsik; Lee, Dong-In; … - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 253-258
Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this … from the KTB futures market with shuffled data and a generated time series are examined according to the Brownian process …. In addition, we study the correlation inherent in the KTB futures and its Brownian walk, describing the extent to which …
Persistent link: https://www.econbiz.de/10010873445
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Volatilities, traded volumes, and the hypothesis of price increments in derivative securities
Lim, Gyuchang; Kim, SooYong; Scalas, Enrico; Kim, Kyungsik - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 577-585
A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) futures from which …-order correlation not detected by with the direct application of the DFA to logarithmic increments of KTB futures, it is of importance …
Persistent link: https://www.econbiz.de/10010873990
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Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets
Lim, Gyuchang; Kim, SooYong; Kim, Kyungsik; Lee, Dong-In; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2831-2836
A 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...
Persistent link: https://www.econbiz.de/10010588859
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Multifractal detrended fluctuation analysis of derivative and spot markets
Lim, Gyuchang; Kim, SooYong; Lee, Hyoung; Kim, Kyungsik; … - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 259-266
We investigate the multifractal properties of price increments in the cases of derivative and spot markets. Through the multifractal detrended fluctuation analysis, we estimate the generalized Hurst and the Renyi exponents for price fluctuations. By deriving the singularity spectrum from the...
Persistent link: https://www.econbiz.de/10010590415
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Kontinentales Tiefbohrprogramm der Bundesrepublik Deutschland
Vidal, Helmut (contributor) - In: Mitteilung / Deutsche Forschungsgemeinschaft, … 11 (1981)
Persistent link: https://www.econbiz.de/10008974570