Research on Structural Characteristics in Stock Index Based on AR Model

The changing trends of binary sequences are analysed with AR model(the autoregressive model),to obtain the linear model characteristics.And through a limited order of conditional probability analysis of the binary sequences,the stock index has a remarkable structural feature.This paper is from another perspective to reveal that the financial markets are not completely effective.By comparing the structural characteristics of the stock index of the developing and developed markets,it finds that the non-rational investment behavior is in the immature emergent financial markets.