Dynamics of avalanche activities in financial markets

作者：Kim Cheol Hyun; Park C H; Kim Soo Yong; Kim Kyungsik^*; Scalas Enrico

来源：International Journal of Modern Physics C, 2007, 18(1): 119-127.

DOI：10.1142/S0129183107010322

• detrended fluctuation analysis
• wavelet correlation coefficient analysis
• multiscale sample entropy
• volatility clustering

We study the dynamical properties of avalanche activities in the Korean Treasury Bond (KTB) future price and the S&P 500 stock index. We apply the detrended fluctuation analysis, multiscale sample entropy and wavelet coefficient correlation to them, which revealed the scale-free dynamics of the bursting time series, avalanche size, and laminar time. We found that the laminar time and the avalanche size are anti-correlated in a short scale but in a large scale strongly correlated in KTB503, and are strongly correlated over all scales in S&P 500.

• 出版日期2007-1