Applications of physical methods in high-frequency futures markets

Details Applications of physical methods in high-frequency futures markets Applications of physical methods in high-frequency futures markets

2007-12-18

arxiv.org/abs/0712.2910v1

Economy

Quantitative Finance

Trading and Market Microstructure

14 Pages and 10 figures. Proceeding to the SPIE conference, 4 - 7 December 2007 Australian National Univ. Canberra, ACT, Austr

Scientific paper

10.1117/12.758431

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.

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