Volatility and Returns in Korean Futures Exchange Markets

Details Volatility and Returns in Korean Futures Exchange Markets Volatility and Returns in Korean Futures Exchange Markets

2003-11-07

arxiv.org/abs/cond-mat/0311155v1

Physics

Condensed Matter

Statistical Mechanics

13 Pages, 6 Figures

Scientific paper

We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and volatility for bond futures are treated particularly at the long-time limit. The volatility for the price of our bond futures shows a power-law with anomalous scaling exponent, similar to other options. Our result presented will be compared with that of recent numerical calculations.

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