Volume 82, Number 6, June 2008
|Number of page(s)||6|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||04 June 2008|
Fluctuation patterns in high-frequency financial asset returns
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: email@example.com
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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