Multi-scale correlations in different futures markets

Abstract

Abstract. In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1 st 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.

Statistical properties of derivatives: A journey in term structures

“…As mentioned previously, a b c d although stocks and foreign exchange markets have received a lot of attention, such is not the case for commodities and futures [24][25][26][27][28]. Moreover, except for interest rates, the maturity dimension has been omitted [29][30][31][32][33]13].…”

Bayesian estimation of self-similarity exponent

“…Although it was assumed previously that DJIA values can be well-represented by a Gaussian process, recent studies have shown that such kind of price movements has power low tails. However, it has been also shown that the tails of the power low observed for financial data are more narrow that the ones of Lévy process [15], thus allows me to classify the received estimation values for DJIA as a reliable one.…”

“…Examples include geologic [55], hydrologic [121] and finance [15,17,92,107] data; data from human sciences [53,60,64], traffic networks [32,75], turbulence [51,63], DNA sequences [10] and other data types.…”

Asymptotic scaling properties and estimation of the generalized Hurst exponents in financial data

“…[1][2][3][4][5]). Many works have been dedicated to its empirical characterization [6][7][8][9][10][11][12][13][14][15][16][17][18][19][20][21][22][23], reporting strong evidence of its presence in financial markets. Several models have been proposed [24][25][26][27][28][29][30][31][32][33] to reproduce these empirical facts.…”