한국 금융시장의 동역학적 멀티프랙탈 해석에 관한 연구

Abstract

Since the 1970s, a series of significant change has taken place in the world of finance. Economic is more and more important, so many people have an interest. During the past 30 years, physicists discuss the application to financial markets such concepts as power-law distributions, correlations, nonpredictable time series, and random process. From the extension line we numerically investigate the multi-fractal properties of price increments for seven sets of KTB futures, each of which is categorized into seven different time tick groups. It is shown that they all present the mono-fractal behavior with different fractal dimensions. In order to calculate the multifractal spectrum , f(α) we used the multifractal detrended fluctuation analysis proposed recently. Finally, we propose a multifractal process to be met with the numerical results obtained. Particularly we compare multifractals and random walk, from the conditions that the time series is not understanded by random walk.