Volatility and Returns in Korean Futures Exchange Markets

TL;DR

This paper applies CTRW theory to analyze long-term behavior of returns and volatility in Korean bond futures, revealing power-law scaling in volatility similar to other financial options.

Contribution

It introduces a CTRW-based approach to model long-time dynamics of bond futures, highlighting anomalous scaling in volatility not previously detailed for this market.

Findings

Volatility exhibits power-law scaling with anomalous exponents.

Returns and volatility analyzed at long-time limits.

Comparison with numerical calculations confirms results.

Abstract

We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and volatility for bond futures are treated particularly at the long-time limit. The volatility for the price of our bond futures shows a power-law with anomalous scaling exponent, similar to other options. Our result presented will be compared with that of recent numerical calculations.