Physical Properties of the Korean Stock Market
DOI: 10.1007/978-4-431-53947-6_9
关键词: Econometrics 、 First order 、 Price change 、 Stock market 、 Mutual influence 、 Volatility (finance) 、 Mathematics
摘要: The mutual influence between the index time series and volume of Korean stock market, KOSPI, is considered along with it volatility, first order Landau expansion fitting, volume-index correlation based on one minute data. We find causality indeed exists in but not volume series.
springer.com
sci-hub.st 参考文章(6)
C.W.J. Granger, Causality, cointegration, and control Journal of Economic Dynamics and Control. ,vol. 12, pp. 551- 559 ,(1988) , 10.1016/0165-1889(88)90055-3
Yanhui Liu, Parameswaran Gopikrishnan, Cizeau, Meyer, Peng, H. Eugene Stanley, Statistical properties of the volatility of price fluctuations. Physical Review E. ,vol. 60, pp. 1390- 1400 ,(1999) , 10.1103/PHYSREVE.60.1390
Parameswaran Gopikrishnan, Vasiliki Plerou, Xavier Gabaix, H. Eugene Stanley, Statistical properties of share volume traded in financial markets Physical Review E. ,vol. 62, ,(2000) , 10.1103/PHYSREVE.62.R4493
D. Sornette, D. Sornette, A. Johansen, Financial Anti-Bubbles Log-Periodicity in Gold and Nikkei Collapses International Journal of Modern Physics C. ,vol. 10, pp. 563- 575 ,(1999) , 10.1142/S0129183199000437
Gangadharrao S Maddala, Kajal Lahiri, None, Introduction to Econometrics ,(1988)
A. JOHANSEN, D. SORNETTE, Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses arXiv: Statistical Mechanics. ,(1999) , 10.1142/S0129183199000437