Dynamical mechanism of two-phase phenomena in financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 386, Issue 1, 2007, Pages 253-258

  Lim, Gyuchang ^a   Yong Kim, Soo ^a   Kim, Kyungsik ^b   Lee, Dong In ^b   Park, Sang Bum ^c  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^b Pukyong National University   (South Korea)

^c Department of Business Administration   (South Korea)

Author keywords

Brownian walk; Detrended fluctuation analysis; Fluctuation; KTB; Two phase phenomena

Indexed keywords

CLUSTERING ALGORITHMS; CORRELATION METHODS; DATA REDUCTION; MARKETING; TIME SERIES ANALYSIS;

DETRENDED FLUCTUATION ANALYSIS; KOREAN TREASURY BOND; TWO-PHASE PHENOMENA; VOLATILITY CLUSTERING;

FINANCE;

EID: 35148875637     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.07.053     Document Type: Article

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