We found a match
Your institution may have rights to this item. Sign in to continue.
- Title
HURST EXPONENTS IN FUTURES EXCHANGE MARKETS.
- Authors
KIM, KYUNGSIK; KIM, SOO YONG; LEE, MINHO; YUM, MYUNG-KUL
- Abstract
The dynamical behavior of the Korean treasury bond (KTB) futures is investigated using a modified rescaled range (R/S) analysis. Lo's modified R/S analysis as well as classical Hurst's R/S statistics are utilized in order to analyze tick data of KTB futures. The Hurst exponent can be estimated by both classical and modified R/S statistics. The results of this study show that a series of returns has larger long-term correlation as the time lag increases. The Hurst exponent that shows a memory effect for the tick data of KTB futures is larger than 0.5, while the Hurst exponent has a value of nearly 0.5 for the corresponding shuffled data.
- Subjects
STATISTICAL physics; DERIVATIVE securities; GOVERNMENT securities; FUTURES market; FUTURES; INVESTMENTS; PROBABILITY theory
- Publication
International Journal of Modern Physics C: Computational Physics & Physical Computation, 2006, Vol 17, Issue 12, p1831
- ISSN
0129-1831
- Publication type
Article
- DOI
10.1142/S0129183106010157