Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

Details Dynamical Behavior of Continuous Tick Data in Futures Exchange Market Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

2002-12-17

arxiv.org/abs/cond-mat/0212393v1

Physics

Condensed Matter

Statistical Mechanics

11 pages, 4 figures

Scientific paper

We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond(KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents $\beta$ $=$ 0.82(KTB 203) and $\beta$ $=$ 0.90(KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability $\epsilon$ $=$ 17 and 18 decayed rapidly in large time limit, and our results are compared with recent numerical calculations.

Affiliated with

Also associated with

No associations

Rating

Dynamical Behavior of Continuous Tick Data in Futures Exchange Market does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Dynamical Behavior of Continuous Tick Data in Futures Exchange Market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dynamical Behavior of Continuous Tick Data in Futures Exchange Market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-258775