| 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 | https://doi.org/10.1209/0295-5075/82/68005 | |
| Published online | 04 June 2008 | |
Fluctuation patterns in high-frequency financial asset returns
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
Corresponding author: preis@uni-mainz.de
Received:
31
January
2008
Accepted:
30
April
2008
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
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