Abstract
We study the tick dynamical behavior of the bond futures price using the rescaled range analysis (R/S analysis) in Korean futures exchange market. For our case, the multifractal Hurst exponents with long-run memory effects can be obtained from two kinds of Korean treasury bond futures transacted recently. It exists no crossover for the Hurst exponents at charateristic time scales. Particularly, we find that our result for probability distribution of prices is similar to a Lorentz distribution different from fat-tailed properties of bond futures price.
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