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Fluctuation patterns in high-frequency financial asset returns

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Preis, Tobias, Paul, Wolfgang and Schneider, Johannes J. (2008) Fluctuation patterns in high-frequency financial asset returns. EPL (Europhysics Letters), Volume 82 (Number 6). pp. 1-7. Article number 68005. doi:10.1209/0295-5075/82/68005

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Official URL: http://dx.doi.org/10.1209/0295-5075/82/68005

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Abstract

We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales. In order to subtract trivial autocorrelation parts from the pattern conformity, we introduce a simple model for reproducing the antipersistent regime and use alternatively level 1 quotes. When we remove the pattern conformity of this stochastic process from the original data, remaining pattern-based correlations can be observed.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Behavioural Science
Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH): Capital market
Journal or Publication Title: EPL (Europhysics Letters)
Publisher: Institute of Physics Publishing Ltd.
ISSN: 0295-5075
Official Date: 4 June 2008
Dates:
DateEvent
4 June 2008Published
30 April 2008Accepted
31 January 2008Submitted
Volume: Volume 82
Number: Number 6
Number of Pages: 7
Page Range: pp. 1-7
Article Number: Article number 68005
DOI: 10.1209/0295-5075/82/68005
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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