Probability distribution function and multiscaling properties in the Korean stock market

Kyoung Eun Lee and Jae Woo Lee

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 65-70

Abstract: We consider the probability distribution function (pdf) and the multiscaling properties of the index and the traded volume in the Korean stock market. We observed the power law of the pdf at the fat tail region for the return, volatility, the traded volume, and changes of the traded volume. We also investigate the multifractality in the Korean stock market. We consider the multifractality by the detrended fluctuation analysis (MFDFA). We observed the multiscaling behaviors for index, return, traded volume, and the changes of the traded volume. We apply MFDFA method for the randomly shuffled time series to observe the effects of the autocorrelations. The multifractality is strongly originated from the long time correlations of the time series.

Keywords: Econophysics; Probability density function; Multifractality; Detrended fluctuation analysis; Stock market (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:65-70

DOI: 10.1016/j.physa.2007.04.112

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