Affordable Access

Scaling Properites of Price Changes for Korean Stock Indices

Authors
Source
Legacy

Abstract

We consider returns of two Korean stock market indices, KOSPI and KOSDAQ index. 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, is outside the L\'{e}vy stable distribution.

There are no comments yet on this publication. Be the first to share your thoughts.

Statistics

Seen <100 times
0 Comments
F