Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets

作者：Lim Gyuchang; Kim SooYong; Kim Kyungsik^*; Lee Dong In; Scalas Enrico

来源：Physica A: Statistical Mechanics and Its Applications , 2008, 387(12): 2831-2836.

DOI：10.1016/j.physa.2008.01.041

• equilibrium and out-of-equilibrium states
• two-phase phenomenon
• critical volatility
• KTB

A recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The power-law distribution of inter-out-of-equilibrium state intervals is shown and we present an analogy with discrete-time heat bath dynamics, similar to random Ising systems. In the mean-field approximation, this model reduces to a one-dimensional multiplicative process. By varying global and local model parameters, the relevance between volatilities in financial markets and the interaction strengths between agents in the Ising model are investigated and discussed.

• 出版日期2008-5-1