Scaling Properites of Price Changes for Korean Stock Indices

Details Scaling Properites of Price Changes for Korean Stock Indices Scaling Properites of Price Changes for Korean Stock Indices

2004-07-16

arxiv.org/abs/cond-mat/0407418v1

J. Korean Phys. Soc. 44, 668(2004)

Physics

Condensed Matter

Statistical Mechanics

Scientific paper

We consider returns of two Korean stock market indices, KOSPI and KOSDAQ index. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the probability distribution function follow a power law behavior well. We found that the probability distribution function of returns for both KOSPI and KOSDAQ, is outside the L\'{e}vy stable distribution.

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