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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 Scalas
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.

History

Publication status

  • Published

Journal

International Journal of Modern Physics C

ISSN

0129-1831

Publisher

World Scientific Publishing

Issue

1

Volume

18

Page range

119-127

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-29

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