Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · physics/0512225

Dynamical Structures of High-Frequency Financial Data

Kyungsik Kim·Seong-Min Yoon·Soo Yong Kim·Ki-Ho Chang·Yup Kim
View original source ↗Read source document ↗Export metadata ↓

Abstract

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 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 the findings of other models.

Explore related subjects

physics.soc-phq-fin.ST

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Kyungsik Kim, Seong-Min Yoon, Soo Yong Kim, Ki-Ho Chang, Yup Kim. 2005-12-23. Dynamical Structures of High-Frequency Financial Data. https://arxiv.org/abs/physics/0512225

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

A Jump-Diffusion Model of Home Price Dynamics and Neighborhood Change

We develop a dynamical model that links the fluctuations of individual home prices to changes in the full distribution of home prices in an urban area. We model the price of an individual home as a jump-diffusion stochastic differential equation. To capture the dynamic and hyper-local economic conditions that drive the residential real estate market, we allow all parameters to depend on both time and neighborhood. In the mean-field limit, we derive the associated Fokker-Planck partial integro-differential equation (PIDE) governing the evolution of the home price distribution in a neighborhood. We quantify spatial heterogeneity within a city by using the Wasserstein-2 distance to compare home price distributions across the city's neighborhoods. We validate our model using data from Boston, Massachusetts as a case study.

physics.soc-ph↗
arXiv2026

Asynchronous Barter, Periodic Reconciliation: Evidence for a Scale-Free Commercial Network in the Indus Valley Civilization

The Harappan Civilization (c.\ 2600--1900 BCE) achieved extraordinary standardization across a vast region without clear evidence of centralized rule. We propose that it was a merchant commonwealth organized as a scale-free commercial network, with AP2PBS (Asynchronous Peer-to-Peer Barter Settlement) and the Unicorn Logistics Cartel (ULC) serving as inferential model labels for its coordinating institutions. Four lines of evidence support this interpretation. (1) \textbf{Statistical}: Unicorn $α\approx 1.8$, offering stand with a power-law distribution with $α\approx 2.3$--$2.6$, while seal counts at sites follow $α\approx 1.55$; all fit heavy-tailed power-law better than exponential alternatives. (2) \textbf{Attribute correlations}: non-random associations between offering stands and anatomical attributes, including Cramér's V patterns across market tiers, are consistent with deliberate institutional design of visual confirmation bundles. (3) \textbf{Archaeological}: seal evolution, contextual distributions, and warehouse logistics support the operational requirements of long-distance asynchronous exchange. (4) \textbf{Architectural}: Mohenjo-daro's halls, bath, warehouses, and cart-compatible gridiron are consistent with infrastructure for commerce and coordination. Taken together, these findings are consistent with AP2PBS and ULC as models of how independent participants could standardize authentication, exchange value asynchronously, and coordinate across distance without a hierarchical state. Scale-free topology also offers a testable explanation for both Harappan longevity and its vulnerability to hub failure and cascading decline. The argument is inferential: the archaeological record does not directly identify AP2PBS or ULC by name, but its statistical, material, and architectural patterns are compatible with this decentralized commercial model.

physics.soc-ph↗
arXiv2026

Hurricane recovery gaps lie in reconnection, not local restart

Climate-intensified hurricanes disrupt urban mobility, yet whether recovery is equitable across the rural-urban gradient is unclear. Analyzing device-based mobility for Hurricanes Helene and Milton, we find local activity restarted within approximately 4.5 days in both storms, whereas reconnection to the outside world took 5 days in coastal-urban Florida but 11 in inland-rural Appalachia. The gap lies in external reconnection, not local restart, implying planners should target rural isolation.

physics.soc-ph↗