Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

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dc.creatorKim, Kyungsik
dc.creatorYoon, Seong-Min
dc.date2002-12-17
dc.date.accessioned2026-07-07T12:06:45Z
dc.date.available2026-07-07T12:06:45Z
dc.descriptionWe study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond(KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents $β$ $=$ 0.82(KTB 203) and $β$ $=$ 0.90(KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability $ε$ $=$ 17 and 18 decayed rapidly in large time limit, and our results are compared with recent numerical calculations.
dc.description11 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0212393
dc.identifierhttp://arxiv.org/abs/cond-mat/0212393
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208744
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleDynamical Behavior of Continuous Tick Data in Futures Exchange Market
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