DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hongseok Kim | - |
dc.contributor.author | Oh, G | - |
dc.contributor.author | Kim, S | - |
dc.date.accessioned | 2016-03-31T09:13:31Z | - |
dc.date.available | 2016-03-31T09:13:31Z | - |
dc.date.created | 2012-02-14 | - |
dc.date.issued | 2011-11-01 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.other | 2011-OAK-0000024750 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/16848 | - |
dc.description.abstract | We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. In general, the return time series of various financial data, including stock indices, foreign exchange rates, and commodity prices, are uncorrelated in time, while the volatility time series are strongly correlated. However, we found that the return time series of Korean agricultural commodity prices are anti-correlated in time, while the volatility time series are correlated. The n-point correlations of time series were also examined, and it was found that a multifractal structure exists in Korean agricultural market prices. Crown Copyright (C) 2011 Published by Elsevier B.V. All rights reserved. | - |
dc.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.relation.isPartOf | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.subject | Econophysics | - |
dc.subject | Multifractal | - |
dc.subject | Agricultural market | - |
dc.subject | TIME-SERIES | - |
dc.subject | PRICE FLUCTUATIONS | - |
dc.subject | CROSS-CORRELATIONS | - |
dc.subject | EXCHANGE-RATE | - |
dc.subject | STOCK-MARKET | - |
dc.subject | VOLATILITY | - |
dc.subject | FRACTALS | - |
dc.subject | RETURNS | - |
dc.subject | MEMORY | - |
dc.title | Multifractal Analysis of Korean Agricultural Market | - |
dc.type | Article | - |
dc.contributor.college | 물리학과 | - |
dc.identifier.doi | 10.1016/J.PHYSA.2011.06.046 | - |
dc.author.google | Kim, H | - |
dc.author.google | Oh, G | - |
dc.author.google | Kim, S | - |
dc.relation.volume | 390 | - |
dc.relation.issue | 23-24 | - |
dc.relation.startpage | 4286 | - |
dc.relation.lastpage | 4292 | - |
dc.contributor.id | 10054190 | - |
dc.relation.journal | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCI | - |
dc.collections.name | Journal Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.390, no.23-24, pp.4286 - 4292 | - |
dc.identifier.wosid | 000295602300025 | - |
dc.date.tcdate | 2019-01-01 | - |
dc.citation.endPage | 4292 | - |
dc.citation.number | 23-24 | - |
dc.citation.startPage | 4286 | - |
dc.citation.title | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.citation.volume | 390 | - |
dc.contributor.affiliatedAuthor | Kim, S | - |
dc.identifier.scopusid | 2-s2.0-80052567794 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 5 | - |
dc.description.scptc | 4 | * |
dc.date.scptcdate | 2018-05-121 | * |
dc.type.docType | Article | - |
dc.subject.keywordPlus | PRICE FLUCTUATIONS | - |
dc.subject.keywordPlus | CROSS-CORRELATIONS | - |
dc.subject.keywordPlus | STOCK | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | MEMORY | - |
dc.subject.keywordAuthor | Econophysics | - |
dc.subject.keywordAuthor | Multifractal | - |
dc.subject.keywordAuthor | Agricultural market | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
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