Dynamical Behavior of Continuous Tick Data in Futures Exchange Market
Abstract
We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuoustime random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond(KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents $\beta$ $=$ 0.82(KTB 203) and $\beta$ $=$ 0.90(KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability $\epsilon$ $=$ 17 and 18 decayed rapidly in large time limit, and our results are compared with recent numerical calculations.
 Publication:

arXiv eprints
 Pub Date:
 December 2002
 arXiv:
 arXiv:condmat/0212393
 Bibcode:
 2002cond.mat.12393K
 Keywords:

 Condensed Matter  Statistical Mechanics;
 Quantitative Finance  Trading and Market Microstructure
 EPrint:
 11 pages, 4 figures