Issue
EPL
Volume 82, Number 6, June 2008
Article Number 68005
Number of page(s) 6
Section Interdisciplinary Physics and Related Areas of Science and Technology
DOI http://dx.doi.org/10.1209/0295-5075/82/68005
Published online 04 June 2008
EPL, 82 (2008) 68005
DOI: 10.1209/0295-5075/82/68005

Fluctuation patterns in high-frequency financial asset returns

T. Preis1, 2, W. Paul1 and J. J. Schneider1

1  Institute of Physics, Johannes Gutenberg University of Mainz - Staudinger Weg 7, D-55099 Mainz, Germany, EU
2  Artemis Capital Asset Management GmbH - Gartenstr. 14, D-65558 Holzheim, Germany, EU

preis@uni-mainz.de

received 31 January 2008; accepted in final form 30 April 2008; published June 2008
published online 4 June 2008

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.

PACS
89.65.Gh - Economics; econophysics, financial markets, business and management.
05.10.Ln - Monte Carlo methods.
02.50.Ey - Stochastic processes.

© EPLA 2008