arXiv subjects

Kyungsik Kim

Publications and source records attributed to Kyungsik Kim.

51 records · Page 3Linked to original sources

arXiv2004

Multifractal Measures on Small-World Networks

We investigate the multifractals of the normalized first passage time on one-dimensional small-world network with both reflecting and absorbing barriers. The multifractals is estimated from the distribution of the normalized first passage time charactrized by the random walk on the small-world network with three fractions of edges rewired randomly. Particularly, our estimate is the fractal dimension D_0 = 0.917, 0.926, 0.930 for lattice points L = 80 and a randomly rewired fraction p = 0.2. The numerical result is found to disappear multifractal properties in the regime p> p_c, where p_c is the critical rewired fraction.

cond-mat.stat-mech↗

arXiv2004

Power Law Distributions in Korean Household Incomes

We investigate the distribution function and the cumulative probability for Korean household incomes, i.e., the current, labor, and property incomes. For our case, the distribution functions are consistent with a power law. It is also showed that the probability density of income growth rates almost has the form of a exponential function. Our obtained results are compared with those of other numerical calculations.

cond-mat.stat-mech↗

arXiv2003

Volatility and Returns in Korean Futures Exchange Markets

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.

cond-mat.stat-mech↗

arXiv2003

Dynamics of the Minority Game for Patients

We analyze the minority game for patients, and the results known from the minority game are applied to the patient problem consulted at the department of pediatric cardiology. We find numerically the standard deviation and the global efficiency, similar to the El Farol bar problem. After the score equation and the scaled utility are introduced, the dynamical behavior of our model is discussed for particular strategies. Our result presented will be compared with the well-known minority games.

cond-mat.stat-mech↗

arXiv2003

Multifractal Features in the Foreign Exchange and Stock Markets

The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We also estimate the Hurst exponent and the generalized $q$th-order Hurst exponent in the unversal multifractal framework. Particularly, our financial market is a persistent process with long-run memory effects, and the statistical value of the Hurst exponents occurs the crossovers at charateristic time scales. It is found that the probability distribution of returns is well consistent with a Lorentz distribution, significantly different from fat-tailed properties.

cond-mat.stat-mech↗

arXiv2003

Herd Behaviors in the Stock and Foreign Exchange Markets

The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends to a power-law behavior $P(R) \simeq R^{-β}$ with the exponents $ β=2.2$(the won-dollar exchange rate) and 2.4(the KOSPI). The financial crashes are found to occur at $h >2.33$ when the relative increase in the probability distribution of exteremely high price returns is observed. Especially, the distribution of normalized returns shows a crossover to a Gaussian distribution for the time step $Δt=252$. Our results will be also compared to the other well-known analyses.

cond-mat.stat-mech↗

arXiv2003

Herd Behavior of Returns in the Futures Exchange Market

The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-β}$ with the exponents $ β=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $Δt=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results.

cond-mat.stat-mech↗

arXiv2002

Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

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 $β$ $=$ 0.82(KTB 203) and $β$ $=$ 0.90(KTB112), respectively, for our small time intervals. We obtain the scaling exponents for survival probability $ε$ $=$ 17 and 18 decayed rapidly in large time limit, and our results are compared with recent numerical calculations.

cond-mat.stat-mech↗

arXiv2002

Anomalous Behaviors in Fractional Fokker-Planck Equation

We introduce a fractional Fokker-Planck equation with a temporal power-law dependence on the drift force fields. For this case, the moments of the tracer from the force-force correlation in terms of the time-dependent drift force fields are discussed analytically. The long-time asymptotic behavior of the second moment is determined by the scaling exponent $ξ$ imposed by the drift force fields. In the special case of the space scaling value $ν=1$ and the time scaling value $τ=1$, our result can be classified according to the temporal scaling of the mean second moment of the tracer for large $t$: $< \bar{x^2(t)} >$ $\propto$ $t$ with $ξ={1/4}$ for normal diffusion, and $< \bar{x^2(t)} >$ $\propto$ $t^η$ with $η>1$ and $ξ>{1/4}$ for superdiffusion.

cond-mat.stat-mech↗

arXiv2002

Fractional Dynamical Behavior in Quantum Brownian Motion

The dynamical behavior for a quantum Brownian particle is investigated under a random potential of the fractional iterative map on a one-dimensional lattice. For our case, the quantum expectation values can be obtained numerically from the wave function of the fractional Schr$\ddot{o}$dinger equation. Particularly, the square of mean displacement which is ensemble-averaged over our configuration is found to be proportional approximately to $t^δ$ in the long time limit, where $δ$ $=$ $0.96 \pm 0.02$. The power-law behavior with scaling exponents $ε$ $=$ $0.98 \pm 0.02$ and $θ$ $=$ $ 0.51 \pm 0.01$ is estimated for $ \bar {{< p(t) >}^2}$ and $ \bar {{< f(t) >}^2}$, and the result presented is compared with other numerical calculations.

cond-mat.stat-mech↗

arXiv2001

Multifractal Measures in Iterative Maps

We investigate chaotic and multi-fractal properties of a two parameter map of the unit interval onto itself -- the Kim-Kong map. These results are compared with similar properties in well known one parameter maps of the unit interval onto itself.

cond-mat.stat-mech↗

arXiv2000

Multifractal Measures Characterized by the Iterative Map with Two Control Parameters

A one - dimensional iterative map with two control parameters, i.e. the Kim - Kong map, is proposed. Our purpose is to investigate the characteristic properties of this map, and to discuss numerically the multifractal behavior of the normalized first passage time. Especially, based on the Monte Carlo simulation, the normalized first passage time to arrive at the absorbing barrier after starting from an arbitrary site is mainly obtained in the presence of both absorption and reflection on a two - dimensional Sierpinski gasket. We also discuss the multifractal spectra of the normalized first passage time, and the numerical result of the Kim - Kong model presented will be compared with that of the Sinai and logistic models.

cond-mat.stat-mech↗

arXiv2000

Multifractal Structure of the Sea-Bottom Topography in the Korean Sea

The scaling behavior of the mutifractality for the sea-bottom topography of the South Sea in Korea is numerically investigated. In particular, we focus on the behavior of the $q$th-moment depth-depth correlation function of the sea-bottom topography and its multifractal spectrum. Through the multifractal analysis, the fractal dimension and the scaling exponents are obtained numerically, and the relation between the Hurst exponent and the fractal dimension is also derived.

cond-mat.stat-mech↗

arXiv1999

Decay Process for Three - Species Reaction - Diffusion System

We propose the deterministic rate equation of three-species in the reaction - diffusion system. For this case, our purpose is to carry out the decay process in our three-species reaction-diffusion model of the form $A+B+C\to D$. The particle density and the global reaction rate are also shown analytically and numerically on a two-dimensional square lattice with the periodic boundary conditions. Especially, the crossover of the global reaction rate is discussed in both early-time and long-time regimes.

cond-mat.stat-mech↗

arXiv1998

Multifractals of Normalized First Passage Time in Sierpinski Gasket

The multifractal behavior of the normalized first passage time is investigated on the two dimensional Sierpinski gasket with both absorbing and reflecting barriers. The normalized first passage time for Sinai model and the logistic model to arrive at the absorbing barrier after starting from an arbitrary site, especially obtained by the calculation via the Monte Carlo simulation, is discussed numerically. The generalized dimension and the spectrum are also estimated from the distribution of the normalized first passage time, and compared with the results on the finitely square lattice.

cond-mat.stat-mech↗