Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
976960 | Physica A: Statistical Mechanics and its Applications | 2007 | 8 Pages |
Abstract
We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S&P 500 stock index, which can be described by means of the Fokker–Planck equation. We show that the Fokker–Planck equation and the Langevin equation from the estimated Kramers–Moyal coefficients can be estimated directly from the empirical data. By analyzing the statistics of the returns, we present quantitatively the deterministic and random influences on financial time series for both markets, for which we can give a simple physical interpretation. We particularly focus on the diffusion coefficient, which may be important for the creation of a portfolio.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Gyuchang Lim, SooYong Kim, Seong-Min Yoon, Jae-Won Jung, Kyungsik Kim,