DYNAMICS OF AVALANCHE ACTIVITIES IN FINANCIAL MARKETS

Cheol-Hyun Kim, C. H. Park, Soo Yong Kim (), Kyungsik Kim () and Enrico Scalas
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Cheol-Hyun Kim: Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea
C. H. Park: Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea
Soo Yong Kim: Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea
Kyungsik Kim: Department of Physics, Pukyong National University, Pusan 608-737, Korea

International Journal of Modern Physics C (IJMPC), 2007, vol. 18, issue 01, 119-127

Abstract: We study the dynamical properties of avalanche activities in the Korean Treasury Bond (KTB) futures price and the S&P 500 stock index. We apply the detrended fluctuation analysis, multiscale sample entropy and wavelet coefficient correlation to them, which revealed the scale-free dynamics of the bursting time series, avalanche size, and laminar time. We found that the laminar time and the avalanche size are anti-correlated in a short scale but in a large scale strongly correlated in KTB503, and are strongly correlated over all scales in S&P 500.

Keywords: Detrended fluctuation analysis; wavelet correlation coefficient analysis; multiscale sample entropy; volatility clustering; 89.65.Gh; 02.50.Ey; 05.40.Jc; 05.45.Tp (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1142/S0129183107010322

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