Bartolozzi, M., Mellen, C., Chan, F., Oliver, David, Di Matteo, T., Aste, Tomaso (2007) Applications of physical methods in high-frequency futures markets. Proceedings of SPIE - The International Society for Optical Engineering, . (doi:10.1117/12.758431) (KAR id:29099)
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| Official URL: http://dx.doi.org/10.1117/12.758431 |
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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 |
|---|---|
| DOI/Identification number: | 10.1117/12.758431 |
| Additional information: | arXiv:0712.2910v1 |
| Subjects: |
Q Science Q Science > QC Physics |
| Divisions: | Divisions > Division of Natural Sciences > Physics and Astronomy |
| Depositing User: | Tomaso Aste |
| Date Deposited: | 15 Mar 2012 10:39 UTC |
| Last Modified: | 05 Nov 2024 10:10 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/29099 (The current URI for this page, for reference purposes) |
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