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Dynamics Of Avalanche Activities In Financial Markets

Author

Listed:
  • CHEOL-HYUN KIM

    (Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea)

  • C. H. PARK

    (Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea)

  • SOO YONG KIM

    (Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea)

  • KYUNGSIK KIM

    (Department of Physics, Pukyong National University, Pusan 608-737, Korea)

  • ENRICO SCALAS

    (Department of Advanced Sciences and Technology, East, Piedmont University, Alessandria 15100, Italy)

Abstract

We study the dynamical properties of avalanche activities in the Korean Treasury Bond (KTB) futures 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.

Suggested Citation

  • Cheol-Hyun Kim & C. H. Park & Soo Yong Kim & Kyungsik Kim & Enrico Scalas, 2007. "Dynamics Of Avalanche Activities In Financial Markets," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 119-127.
    • Handle: RePEc:wsi:ijmpcx:v:18:y:2007:i:01:n:s0129183107010322
    DOI: 10.1142/S0129183107010322
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