Dynamical mechanism of two-phase phenomena in financial markets

Gyuchang Lim, Soo Yong Kim, Kyungsik Kim, Dong-In Lee and Sang-Bum Park

Physica A: Statistical Mechanics and its Applications, 2007, vol. 386, issue 1, 253-258

Abstract: Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this study. To show that the two-phase phenomena are due to heavy-tailed behavior of distribution of price returns, actual data from the KTB futures market with shuffled data and a generated time series are examined according to the Brownian process. In addition, we study the correlation inherent in the KTB futures and its Brownian walk, describing the extent to which the volatility clustering plays a crucial role in equilibrium and nonequilibrium states of financial markets. It is shown that the two-phase behavior essentially results from heavy-tailed behavior of the distribution of price returns. This two-phase behavior does not appear to be relevant to volatility clustering.

Keywords: Two-phase phenomena; KTB; Brownian walk; Detrended fluctuation analysis; Fluctuation (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:386:y:2007:i:1:p:253-258

DOI: 10.1016/j.physa.2007.07.053

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