Scaling properties of price changes for Korean stock indices

被引：0
|
作者：
Lee, KE [1 ]
Lee, JW [1 ]
机构：
[1] Inha Univ, Dept Phys, Inchon 402751, South Korea
来源：
JOURNAL OF THE KOREAN PHYSICAL SOCIETY | 2004年 / 44卷 / 03期
关键词：
stock market; return; price changes;
D O I：
暂无
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We consider returns of two Korean stock market indices: the KOSPI and KOSDAQ indices. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the probability distribution function follow a power-law behavior well. We found that the probability distribution function of returns for both KOSPI and KOSDAQ was outside the Levy stable distribution.
引用
收藏
页码：668 / 671
页数：4
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