Scaling Properites of Price Changes for Korean Stock Indices

Simple item page
dc.creatorLee, Kyuong Eun
dc.creatorLee, Jae Woo
dc.date2004-07-16
dc.date.accessioned2026-07-07T12:06:59Z
dc.date.available2026-07-07T12:06:59Z
dc.descriptionWe 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 Lévy stable distribution.
dc.identifierhttps://arxiv.org/abs/cond-mat/0407418
dc.identifierhttp://arxiv.org/abs/cond-mat/0407418
dc.identifierJ. Korean Phys. Soc. 44, 668(2004)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208819
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleScaling Properites of Price Changes for Korean Stock Indices
dc.typetext

Files

Collections

arXiv