Volatility and Returns in Korean Futures Exchange Markets

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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.
13 Pages, 6 Figures

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Statistical Mechanics, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/210105

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0311155
 http://arxiv.org/abs/cond-mat/0311155

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arXiv