Microscopic spin model for the dynamics of the return distribution of the Korean stock market index

Autor:	Jae-Suk Yang, Woo-Sung Jung, Seung Byung Chae, Hie Tae Moon
Rok vydání:	2006
Předmět:	Statistics and Probability Exponential distribution Econophysics Stock market bubble Condensed Matter Physics Stock market index symbols.namesake Spin model Econometrics symbols Capitalization-weighted index Pareto distribution Volatility (finance) Mathematics
Zdroj:	Physica A: Statistical Mechanics and its Applications. 363:377-382
ISSN:	0378-4371
DOI:	10.1016/j.physa.2005.12.039
Popis:	In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a08d8c40af8c34431b006d8a5d7611b4 https://doi.org/10.1016/j.physa.2005.12.039 Zobrazit plný text záznamu Full Text from ScienceDirect