Skip navigation
Skip navigation
A change is coming. Click to see a sneak peek of the new Open Research Repository.

Applications of physical methods in high-frequency futures markets

Download (433.98 kB)

link to publisher version

  • Altmetric Citations

Bartolozzi, M; Mellen, C; Chan, F; Oliver, D; Di Matteo, Tiziana; Aste, Tomaso

Description

In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we show that in a limit order book the relaxation times of an imbalanced book state with more demand or supply can be described by stretched exponential laws analogous to those seen in many physical systems.

dc.contributor.authorBartolozzi, M
dc.contributor.authorMellen, C
dc.contributor.authorChan, F
dc.contributor.authorOliver, D
dc.contributor.authorDi Matteo, Tiziana
dc.contributor.authorAste, Tomaso
dc.coverage.spatialCanberra Australia
dc.date.accessioned2015-12-10T22:14:17Z
dc.date.createdJanuary 2008
dc.identifier.isbn0277-786X
dc.identifier.urihttp://hdl.handle.net/1885/50219
dc.description.abstractIn the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we show that in a limit order book the relaxation times of an imbalanced book state with more demand or supply can be described by stretched exponential laws analogous to those seen in many physical systems.
dc.publisherSPIE - The International Society for Optical Engineering
dc.relation.ispartofseriesAsia-Pacific Complex Systems Conference (Complex 2008)
dc.sourceComplex Systems II (Proceedings of SPIE Vol. 6802 )
dc.subjectKeywords: Inverse problems; Numerical methods; Relaxation time; Statistics; Time series analysis; Hurst exponent; Inverse statistics; Limit order book; Financial data processing Hurst exponent; Inverse statistics; Limit order book; Relaxation times; Time series analysis
dc.titleApplications of physical methods in high-frequency futures markets
dc.typeConference paper
local.description.notesImported from ARIES
local.description.refereedYes
dc.date.issued2008
local.identifier.absfor020406 - Surfaces and Structural Properties of Condensed Matter
local.identifier.ariespublicationu9210271xPUB199
local.type.statusPublished Version
local.contributor.affiliationBartolozzi, M, Gringham Managed Funds
local.contributor.affiliationMellen, C, Gringham Managed Funds
local.contributor.affiliationChan, F, Gringham Managed Funds
local.contributor.affiliationOliver, D, Gringham Managed Funds
local.contributor.affiliationDi Matteo, Tiziana, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationAste, Tomaso, College of Physical and Mathematical Sciences, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage14
local.identifier.doi10.1117/12.758431
dc.date.updated2015-12-09T08:05:53Z
local.identifier.scopusID2-s2.0-41149181257
CollectionsANU Research Publications

Download

File Description SizeFormat Image
01_Bartolozzi_Applications_of_physical_2008.pdf433.98 kBAdobe PDFThumbnail
Show simple item record


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator