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Type: Journal article
Title: Multi-scale correlations in different futures markets
Author: Bartolozzi, Marco
Mellen, C.
Di Matteo, T.
Aste, Tomaso
Citation: European Physical Journal B, 2007; 58 (2):207-220
Publisher: Springer-Verlag
Issue Date: 2007
ISSN: 1434-6028
School/Discipline: School of Chemistry and Physics
Statement of
M. Bartolozzi, C. Mellen, T. Di Matteo and T. Aste
Abstract: 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 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.
Description: The original publication can be found at
Provenance: Published online: 10 August 2007
DOI: 10.1140/epjb/e2007-00216-2
Appears in Collections:Chemistry and Physics publications

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