HURST EXPONENTS IN FUTURES EXCHANGE MARKETS

Kyungsik Kim (), Soo Yong Kim (), Minho Lee and Myung-Kul Yum ()
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Kyungsik Kim: Department of Physics, Pukyong National University, Pusan 608-737, Korea
Soo Yong Kim: Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea
Minho Lee: Biomolecular Engineering, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea
Myung-Kul Yum: Department of Pediatric Cardiology, Hanyang University, Kuri 471-701, Korea

International Journal of Modern Physics C (IJMPC), 2006, vol. 17, issue 12, 1831-1838

Abstract: The dynamical behavior of the Korean treasury bond (KTB) futures is investigated using a modified rescaled range (R/S) analysis. Lo's modified R/S analysis as well as classical Hurst's R/S statistics are utilized in order to analyze tick data of KTB futures. The Hurst exponent can be estimated by both classical and modified R/S statistics. The results of this study show that a series of returns has larger long-term correlation as the time lag increases. The Hurst exponent that shows a memory effect for the tick data of KTB futures is larger than 0.5, while the Hurst exponent has a value of nearly 0.5 for the corresponding shuffled data.

Keywords: Modified rescaled range analysis; KTB; Multifractal measure; Hurst exponent; 89.65.Gh; 02.50.Ey; 05.40.Jc; 05.45.Tp (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1142/S0129183106010157

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