Multi-scale correlations in different futures markets

M. Bartolozzi (), C. Mellen, T. Di Matteo and T. Aste

The European Physical Journal B: Condensed Matter and Complex Systems, 2007, vol. 58, issue 2, 207-220

Abstract: In the present work we investigate the multiscale nature of the correlations for high frequency data (1 min) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of local Hurst exponent, we point out how the behaviour of this parameter, usually considered as a benchmark for persistency/antipersistency recognition in time series, is largely time-scale dependent in the market context. These findings are a direct consequence of the intrinsic complexity of a system where trading strategies are scale-adaptive. Moreover, our analysis points out different regimes in the dynamical behaviour of the market indices under consideration. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Keywords: 89.65.Gh Economics; econophysics, financial markets, business and management, 05.45.Tp Time series analysis , (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (25)

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DOI: 10.1140/epjb/e2007-00216-2

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