Applications of physical methods in high-frequency futures markets

Bartolozzi, M. and Mellen, C. and Chan, F. and Oliver, D. and Di Matteo, T. and Aste, T. (2007) Applications of physical methods in high-frequency futures markets. Proceedings of SPIE - The International Society for Optical Engineering . (Full text available)

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http://dx.doi.org/10.1117/12.758431

Abstract

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.

Item Type: Article
Additional information: arXiv:0712.2910v1
Subjects: Q Science
Q Science > QC Physics
Divisions: Faculties > Science Technology and Medical Studies > School of Physical Sciences
Faculties > Science Technology and Medical Studies > School of Physical Sciences > Functional Materials Group
Depositing User: Tomaso Aste
Date Deposited: 15 Mar 2012 10:39
Last Modified: 16 Apr 2014 10:39
Resource URI: http://kar.kent.ac.uk/id/eprint/29099 (The current URI for this page, for reference purposes)
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