Herd Behavior of Returns in the Futures Exchange Market

Details Herd Behavior of Returns in the Futures Exchange Market Herd Behavior of Returns in the Futures Exchange Market

2003-04-07

arxiv.org/abs/cond-mat/0304143v2

Physics

Condensed Matter

Statistical Mechanics

7 pages, 7 figures, Latex

Scientific paper

The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-\beta}$ with the exponents $ \beta=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $\Delta t=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results.

Affiliated with

Also associated with

No associations

Rating

Herd Behavior of Returns in the 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 Herd Behavior of Returns in the Futures Exchange Market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Herd Behavior of Returns in the Futures Exchange Market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-521446