کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975082 933015 2008 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets
چکیده انگلیسی
A recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The power-law distribution of inter-out-of-equilibrium state intervals is shown and we present an analogy with discrete-time heat bath dynamics, similar to random Ising systems. In the mean-field approximation, this model reduces to a one-dimensional multiplicative process. By varying global and local model parameters, the relevance between volatilities in financial markets and the interaction strengths between agents in the Ising model are investigated and discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 12, 1 May 2008, Pages 2831-2836
نویسندگان
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