Detrended fluctuation analysis in the Korean bond futures exchange market

Abstract

The Korean treasury bond (KTB) futures is analyzed by calculating the probability distribution functions of the absolute log returns in the Korean futures exchange market. A detrended fluctuation analysis (DFA) is applied in order to detect the long-range correlation embedded in the non-stationary time series. We found in this study that a persistent long-range correlation exists. In particular, the crossovers for two time intervals of transactions, Delta t = 1 and 10 min, are shown to exist approximately at 100 and 600 min, respectively.