Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

TL;DR

This paper analyzes the dynamical behavior of continuous tick data in the Korean bond futures market, revealing stretched exponential decay functions with novel scaling exponents and comparing these findings with recent numerical models.

Contribution

It introduces a new analysis of survival probability decay in bond futures tick data using continuous-time random walk theory, highlighting novel scaling exponents.

Findings

Decay functions are stretched exponential with exponents 0.82 and 0.90.

Scaling exponents for survival probability are 17 and 18.

Results are compared with recent numerical calculations.

Abstract

We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond(KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents $\beta$ $=$ 0.82(KTB 203) and $\beta$ $=$ 0.90(KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability $\epsilon$ $=$ 17 and 18 decayed rapidly in large time limit, and our results are compared with recent numerical calculations.