DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Soo Yong | ko |
dc.contributor.author | Lim, Gyuchang | ko |
dc.contributor.author | Park, Jeong-Hyeon | ko |
dc.contributor.author | Lee, Hyoung | ko |
dc.contributor.author | Kim, Kyungsik | ko |
dc.date.accessioned | 2013-03-07T06:32:30Z | - |
dc.date.available | 2013-03-07T06:32:30Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2008-08 | - |
dc.identifier.citation | JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.53, pp.1286 - 1289 | - |
dc.identifier.issn | 0374-4884 | - |
dc.identifier.uri | http://hdl.handle.net/10203/89609 | - |
dc.description.abstract | We investigate the breaking-up mechanism of market information in the view of turbulence. We introduce novel market information and its intensity in the context of a two-phase phenomenon in financial markets. A herding behavior in financial markets emerges from the agglomeration of market information dispersed among agents. In order to find the underlying process of the formation of market information, we perform a multifractal analysis and compare it with the binomial multiplicative process, which is successful in describing fully,, developed turbulence. Through that comparison, we detect a great deviation in the multifractality of the breaking-up process from the prediction of the proposed binomial multiplicative process. To explain this marked deviation, we perform a detrended fluctuation analysis on the intensity of market information. | - |
dc.language | English | - |
dc.publisher | KOREAN PHYSICAL SOC | - |
dc.subject | KOREAN STOCK-MARKET | - |
dc.subject | FINANCIAL-MARKETS | - |
dc.subject | 2-PHASE PHENOMENA | - |
dc.title | Multifractal analysis in foreign exchange markets | - |
dc.type | Article | - |
dc.identifier.wosid | 000258481000067 | - |
dc.identifier.scopusid | 2-s2.0-50949133887 | - |
dc.type.rims | ART | - |
dc.citation.volume | 53 | - |
dc.citation.beginningpage | 1286 | - |
dc.citation.endingpage | 1289 | - |
dc.citation.publicationname | JOURNAL OF THE KOREAN PHYSICAL SOCIETY | - |
dc.contributor.localauthor | Kim, Soo Yong | - |
dc.contributor.nonIdAuthor | Lee, Hyoung | - |
dc.contributor.nonIdAuthor | Kim, Kyungsik | - |
dc.type.journalArticle | Article; Proceedings Paper | - |
dc.subject.keywordAuthor | two-phase phenomenon | - |
dc.subject.keywordAuthor | EURO-USD | - |
dc.subject.keywordAuthor | volatility | - |
dc.subject.keywordAuthor | multifractal analysis | - |
dc.subject.keywordPlus | KOREAN STOCK-MARKET | - |
dc.subject.keywordPlus | FINANCIAL-MARKETS | - |
dc.subject.keywordPlus | 2-PHASE PHENOMENA | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.