Title of article :
Probability distribution function and multiscaling properties in the Korean stock market
Author/Authors :
Kyoung-Eun Lee، نويسنده , , Jae Woo Lee، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Pages :
6
From page :
65
To page :
70
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.
Journal title :
Physica A Statistical Mechanics and its Applications
Serial Year :
2007
Journal title :
Physica A Statistical Mechanics and its Applications
Record number :
871875
Link To Document :
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