Analysis of price fluctuations in futures exchange markets

作者：Lim Gyuchang; Kim SooYong; Scalas Enrico; Kim Kyungsik^*; Chang Ki Ho

来源：Physica A: Statistical Mechanics and Its Applications , 2008, 387(12): 2823-2830.

DOI：10.1016/j.physa.2008.01.040

• Fokker-Planck equation
• drift and diffusion coefficients
• Kramers-Moyal coefficient
• KTB

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.

• 出版日期2008-5-1