Bartolozzi, M. and Mellen, C. and Chan, F. and Oliver, David J. and Di Matteo, T. and Aste, Tomaso (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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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.
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:||11 Jun 2014 13:04|
|Resource URI:||https://kar.kent.ac.uk/id/eprint/29099 (The current URI for this page, for reference purposes)|