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Analysis of price fluctuations in futures exchange markets

journal contribution
posted on 2023-06-08, 18:25 authored by Gyuchang Lim, SooYong Kim, Enrico Scalas, Kyungsik KIm, Ki-Ho Chang
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.

History

Publication status

  • Published

Journal

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

Publisher

Elsevier

Issue

12

Volume

387

Page range

2823-2830

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-26

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