Article
Power law of quiet time distribution in the Korean stockmarket
Department of Physics, Inha University, Chemulpo, Incheon, South Korea
Physica A: Statistical Mechanics and its Applications
(Impact Factor: 1.72).
04/2007;
377(2):576582.
DOI: 10.1016/j.physa.2006.11.076

[Show abstract] [Hide abstract]
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 
[Show abstract] [Hide abstract]
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
[Show abstract] [Hide abstract]
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
Data provided are for informational purposes only. Although carefully collected, accuracy cannot be guaranteed.
The impact factor represents a rough estimation of the journal's impact factor and does not reflect the actual
current impact factor.
Publisher conditions are provided by RoMEO. Differing provisions from the publisher's actual policy or licence
agreement may be applicable.