Correlations and multi-affinity in high frequency financial datasets

Roberto Baviera, Michele Pasquini, Maurizio Serva, Davide Vergni and Angelo Vulpiani

Physica A: Statistical Mechanics and its Applications, 2001, vol. 300, issue 3, 551-557

Abstract: In this paper we perform a quantitative check of long term correlations and multi-affinity in Deutsche Mark/US Dollar exchange rates using high frequency data. We show that the use of business time, i.e., the ranking of the quotes in the sequences, eliminates most of the seasonality in financial-time series, allowing a precise estimation of some return anomalies.

Keywords: Structure function; Correlation; Foreign exchange market (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:300:y:2001:i:3:p:551-557

DOI: 10.1016/S0378-4371(01)00363-6

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