Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
975081 | Physica A: Statistical Mechanics and its Applications | 2008 | 8 Pages |
Abstract
We show that the fluctuations of the tick-by-tick logarithmic price in a futures market can be described in terms of the Fokker-Planck equation (FPE). We calculate the corresponding drift and diffusion coefficients and argue that these values can contain some information pertaining to the market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Gyuchang Lim, SooYong Kim, Enrico Scalas, Kyungsik Kim, Ki-Ho Chang,