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Effects of Intraday Patterns on a Time Series Analysis of the Korean Stock Market Index
김두환,맹성은,방유식,최형욱,차문용,이재우 한국물리학회 2011 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.58 No.2
The effects of intraday patterns were considered in a time series analysis of the Korean stock market. One minute tick data from January 2, 2004, to October 30, 2009, on the Korea composite stock price index were studied. The autocorrelation function (ACF) of the absolute return and the probability distribution function (PDF) of returns were calculated by using a time series with the intraday patterns removed. Two methods of eliminating the intraday patterns are suggested: elimination from the index itself and from the absolute returns. The ACF of the absolute return showed a power law with an exponent that did not vary with the method used to eliminate the intraday patterns. Eliminating intraday patterns from the absolute return removed the periodicity of the ACF. However, the periodicity remained if intraday patterns were removed from the index itself. The PDF of returns showed a power law, but its exponents depended on the method of removing the intraday patterns.
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Persistent and Survival Properties in a Stock Market Index
이재우,차문용,맹성은,방유식 한국물리학회 2010 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.56 No.3
We consider the persistent and the survival properties of the Korean stock market index (KOSPI),and investigate the crossing and the persistence probability for a time series of the KOSPI. The crossing probability of the stock index follows a power law, Y (t) ~t−α. The Korean stock market shows weak antipersistent behavior. We also report the survival probability of the stock index. The survival probability S(t) measures the probability of a stock’s price remaining above (or below) a reference value up to a time to + t. We observed that the survival probability in the Korean stock market followed a power law, S(t) ~ -β, where the exponent depended on the reference level. The persistence and the survival of the stock index comes from the correlated memory of the stock index in the market.
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