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

Author

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  • Yang, Jae-Suk
  • Chae, Seungbyung
  • Jung, Woo-Sung
  • Moon, Hie-Tae

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.

Suggested Citation

  • Yang, Jae-Suk & Chae, Seungbyung & Jung, Woo-Sung & Moon, Hie-Tae, 2006. "Microscopic spin model for the dynamics of the return distribution of the Korean stock market index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 377-382.
    • Handle: RePEc:eee:phsmap:v:363:y:2006:i:2:p:377-382
    DOI: 10.1016/j.physa.2005.12.039
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    Cited by:

    1. Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    2. Jinkyu Kim & Gunn Kim & Sungbae An & Young-Kyun Kwon & Sungroh Yoon, 2013. "Entropy-Based Analysis and Bioinformatics-Inspired Integration of Global Economic Information Transfer," PLOS ONE, Public Library of Science, vol. 8(1), pages 1-10, January.
    3. Pan, Raj Kumar & Sinha, Sitabhra, 2008. "Inverse-cubic law of index fluctuation distribution in Indian markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2055-2065.
    4. Andrzej Krawiecki, 2009. "Microscopic spin model for the stock market with attractor bubbling on scale-free networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(2), pages 213-220, November.

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