| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7382940 | Physica A: Statistical Mechanics and its Applications | 2011 | 7 Pages |
Abstract
⺠We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. ⺠We found that the return time series of Korean agricultural commodity prices are anti-correlated in time, while the volatility time series are correlated. ⺠We examine the n-point correlations of time series. ⺠A multifractal structure exists in Korean agricultural market prices.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Hongseok Kim, Gabjin Oh, Seunghwan Kim,