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Multi-scale correlations in different futures markets

Bartolozzi, M; Mellen, C; Di Matteo, Tiziana; Aste, Tomaso

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/29955
Source: European Physical Journal B
DOI: 10.1140/epjb/e2007-00216-2

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