Kim, Kyungsik; Yoon, Seong-Min; Kim, Soo Yong; Chang, Ki-Ho - arXiv.org - 2005
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 for a binarized series of our models is not completely random. The conditional probability is numerically estimated...