Volatility and Returns in Korean Futures Exchange Markets

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dc.creatorKim, Kyungsik
dc.creatorYoon, Seong-Min
dc.creatorChoi, Jum Soo
dc.date2003-11-07
dc.date.accessioned2026-07-07T12:11:03Z
dc.date.available2026-07-07T12:11:03Z
dc.descriptionWe 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.
dc.description13 Pages, 6 Figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0311155
dc.identifierhttp://arxiv.org/abs/cond-mat/0311155
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210105
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleVolatility and Returns in Korean Futures Exchange Markets
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