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Analysis of price fluctuations in futures exchange markets |
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| Authors: | Gyuchang Lim Enrico Scalas Ki-Ho Chang |
| Affiliation: | a Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Republic of Korea b Department of Advanced Sciences and Technology, East Piedmont University, Alessandria 15100, Italy c Department of Physics, Pukyong National University, Pusan 608-737, Republic of Korea d National Institute of Meteorological Research, KMA, Seoul 156-720, Republic of Korea |
| 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. |
| Keywords: | Fokker-Planck equation Drift and diffusion coefficients Kramers-Moyal coefficient KTB |
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