2003/04/07 by Kyungsik Kim, Kim, Kyungsik, Seong‐Min Yoon +3
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Chaos control and synchronization
paper · pdf · doi:10.48550/arxiv.cond-mat/0304143
The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law R-β with the exponents β=3.6(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter h=2.33, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step Δt=360 from the distribution of normalized returns. Our result will be also compared with other well-known results.