Analysis of price fluctuations in futures exchange markets

Gyuchang Lim, SooYong Kim, Enrico Scalas, Kyungsik Kim and Ki-Ho Chang

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 12, 2823-2830

Abstract: We show that the fluctuations of the tick-by-tick logarithmic price in a futures market can be described in terms of the Fokker–Planck equation (FPE). We calculate the corresponding drift and diffusion coefficients and argue that these values can contain some information pertaining to the market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence.

Keywords: Fokker–Planck equation; Drift and diffusion coefficients; Kramers–Moyal coefficient; KTB (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:12:p:2823-2830

DOI: 10.1016/j.physa.2008.01.040

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