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Applications of physical methods in high-frequency futures markets

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)


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: 16 Nov 2021 10:07 UTC
Resource URI: (The current URI for this page, for reference purposes)
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