Kim, Cheol-Hyun, Park, C H, Kim, Soo Yong, Kim, Kyungsik and Scalas, Enrico (2007) Dynamics of avalanche activities in financial markets. International Journal of Modern Physics C, 18 (1). pp. 119-127. ISSN 0129-1831

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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.

Item Type:	Article
Schools and Departments:	School of Mathematical and Physical Sciences > Mathematics
Subjects:	Q Science > QA Mathematics > QA0276 Mathematical statistics
Depositing User:	Enrico Scalas
Date Deposited:	29 Sep 2014 10:46
Last Modified:	29 Sep 2014 10:46
URI:	http://sro.sussex.ac.uk/id/eprint/50272

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