Power law of quiet time distribution in the Korean stockmarket
ABSTRACT We report the quiettime probability distribution of the absolute return in the Korean stockmarket index. We define the quiet time as a time interval during the absolute return of the stock index that are above a threshold rc. Through an exponential bin plot, we observe that the quiettime distribution (qtd) shows powerlaw behavior, pf(t)∼tβ, for a range of threshold values. The quiettime distribution has two scaling regimes, separated by the crossover time . The powerlaw exponents of the quiettime distribution decrease when the return time Δt increases. In the latetime regime, t>tc, the powerlaw exponents are independent of the threshold within the error bars for the fixed return time. The scaled qtd is characterized by a scaling function such as pf(t)∼(1/T)f(t/T) where the scaling function f(x)∼xβ2 and T is the average quiet time. The scaling exponents β2 depend on the return time Δt and are independent of the threshold rc. The average quiet time follows the power law such as where the exponents δ depend on the return time Δt.

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ABSTRACT: We consider the probability distribution function of the trading volume and the volume changes in the Korean stock market. The probability distribution function of the trading volume shows double peaks and follows a power law, P(V/〈V〉)∼(V/〈V〉)−α at the tail part of the distribution with α=4.15(4) for the KOSPI (Korea composite Stock Price Index) and α=4.22(2) for the KOSDAQ (Korea Securities Dealers Automated Quotations), where V is the trading volume and 〈V〉 is the monthly average value of the trading volume. The second peaks originate from the increasing trends of the average volume. The probability distribution function of the volume changes also follows a power law, P(Vr)∼Vr−β, where Vr=V(t)−V(t−T) and T is a time lag. The exponents β depend on the time lag T. We observe that the exponents β for the KOSDAQ are larger than those for the KOSPI.Physica A: Statistical Mechanics and its Applications 03/2009; 388(6):863868. DOI:10.1016/j.physa.2008.11.029 · 1.72 Impact Factor 
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ABSTRACT: We consider the probability distribution function (pdf) and the multiscaling properties of the index and the traded volume in the Korean stock market. We observed the power law of the pdf at the fat tail region for the return, volatility, the traded volume, and changes of the traded volume. We also investigate the multifractality in the Korean stock market. We consider the multifractality by the detrended fluctuation analysis (MFDFA). We observed the multiscaling behaviors for index, return, traded volume, and the changes of the traded volume. We apply MFDFA method for the randomly shuffled time series to observe the effects of the autocorrelations. The multifractality is strongly originated from the long time correlations of the time series.Physica A: Statistical Mechanics and its Applications 09/2007; 383(1):6570. DOI:10.1016/j.physa.2007.04.112 · 1.72 Impact Factor 
Article: MULTIFRACTAL DETRENDED CROSSCORRELATION ANALYSIS OF CHINESE STOCK MARKETS BASED ON TIME DELAY
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ABSTRACT: Multifractal detrended crosscorrelation analysis (MFDXA) has been developed to detect the longrange powerlaw crosscorrelation of two simultaneous series. However, the synchronization of underlying data can not be guaranteed integrated by a variety of factors. We artificially imbed a time delay in considered series and study its influence on the multifractal crosscorrelation analysis. Time delay is found to affect the multifractal characterization, where a larger time delay causes a weaker multifractality. We also propose an alternative modification on MFDXA to make the process more robust. The logarithmic return and volatility of Chinese stock indices show crosscorrelation scaling behavior and strong multifractality by MFDXA as well as singularity spectrum analysis.Fractals 11/2011; 19(03). DOI:10.1142/S0218348X11005415 · 0.63 Impact Factor