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Dynamics of avalanche activities in financial markets
journal contribution
posted on 2023-06-08, 18:26 authored by Cheol-Hyun Kim, C H Park, Soo Yong Kim, Kyungsik Kim, Enrico ScalasWe 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.
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Publication status
- Published
Journal
International Journal of Modern Physics CISSN
0129-1831Publisher
World Scientific PublishingExternal DOI
Issue
1Volume
18Page range
119-127Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-29Usage metrics
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