Herd Behavior of Returns in the Futures Exchange Market
| dc.creator | Kim, Kyungsik | |
| dc.creator | Yoon, Seong-Min | |
| dc.creator | Kim, Yup | |
| dc.date | 2003-04-07 | |
| dc.date | 2003-04-09 | |
| dc.date.accessioned | 2026-07-07T12:06:46Z | |
| dc.date.available | 2026-07-07T12:06:46Z | |
| dc.description | The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-β}$ with the exponents $ β=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $Δt=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results. | |
| dc.description | 7 pages, 7 figures, Latex | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0304143 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0304143 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208752 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Statistical Finance | |
| dc.title | Herd Behavior of Returns in the Futures Exchange Market | |
| dc.type | text |