The persistence probability and the price–price correlation functions in the Korean stock market Original Research Article

We consider the one minute time series of the Korean stock market index (KOSPI). We defined the persisting time as the time interval when the index remains above (or below) an initial index. We observed that the average persistence probability image followed a power-law behavior like image with the persistence exponent image. The persistence exponent in the Korean stock market deviates slightly from a random process. The Korean stock market has shown a weak anti-persistence. We measured the persistence properties of the stock market by the generalized price–price correlation function image. The price–price correlation function followed a power law, image, where image is called the generalized Hurst exponent. The generalized Hurst exponent depends on the order q which means that there are multiscaling properties in the time series of the stock index. We observed the relationship image between the error bars where image is the fractal dimension of the time series.