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

Title
Microscopic spin model for the dynamics of the return distribution of the Korean stock market index
Authors
Jae-Suk YangSeungbyung ChaeJung, WSHie-Tae Moon
Date Issued
2006-05-01
Publisher
Elsevier
Abstract
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. (c) 2006 Elsevier B.V. All rights reserved.
Keywords
econophysics; emerging market; log return; power-law distribution; exponential distribution; FINANCIAL-MARKETS; HERD BEHAVIOR; FLUCTUATIONS; VOLATILITY; ECONOMICS; PRICES
URI
https://oasis.postech.ac.kr/handle/2014.oak/25269
DOI
10.1016/J.PHYSA.2005.12.039
ISSN
0378-4371
Article Type
Article
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol. 363, no. 2, page. 377 - 382, 2006-05-01
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정우성JUNG, WOO SUNG
Dept of Industrial & Management Enginrg
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