کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
976961 | 1480194 | 2007 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Dynamical structures of high-frequency financial data
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We study the dynamical behavior of high-frequency data from the Korean Stock Price Index (KOSPI) using the movement of returns in Korean financial markets. The dynamical behavior of a binarized series of our models is not completely random. In addition, the conditional probability is numerically estimated from a return series of KOSPI tick data. Non-trivial probability structures can be constituted from binary time series of autoregressive (AR), logit, and probit models, for which the Akaike Information Criterion shows a minimum value at the 15th order. From our results, we find that the value of the correct match ratio for the AR model is slightly larger than that derived by other models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 376, 15 March 2007, Pages 525–531
Journal: Physica A: Statistical Mechanics and its Applications - Volume 376, 15 March 2007, Pages 525–531
نویسندگان
Kyungsik Kim, Seong-Min Yoon, SooYong Kim, Ki-Ho Chang, Yup Kim, Sang Hoon Kang,