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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
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 | ||||||||
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| Subjects: | H Social Sciences > HG Finance | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Behavioural Science Faculty of Social Sciences > Warwick Business School |
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| 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: |
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| 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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