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- W1489608711 abstract "The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We also estimate the Hurst exponent and the generalized $q$th-order Hurst exponent in the unversal multifractal framework. Particularly, our financial market is a persistent process with long-run memory effects, and the statistical value of the Hurst exponents occurs the crossovers at charateristic time scales. It is found that the probability distribution of returns is well consistent with a Lorentz distribution, significantly different from fat-tailed properties." @default.
- W1489608711 created "2016-06-24" @default.
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- W1489608711 date "2003-05-13" @default.
- W1489608711 modified "2023-09-27" @default.
- W1489608711 title "Multifractal Features in the Foreign Exchange and Stock Markets" @default.
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- W1489608711 hasPublicationYear "2003" @default.
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