Multi-scale correlations in different futures markets

Details Multi-scale correlations in different futures markets Multi-scale correlations in different futures markets

2007-07-23

arxiv.org/abs/0707.3321v2

Eur. Phys. J. B vol. 58 (2007) p.207-220

Economy

Quantitative Finance

Statistical Finance

14 pages and 25 figures

Scientific paper

10.1140/epjb/e2007-00216-2

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of "local" Hurst exponent, we point out how the behaviour of this parameter, usually considered as a benchmark for persistency/antipersistency recognition in time series, is largely time-scale dependent in the market context. These findings are a direct consequence of the intrinsic complexity of a system where trading strategies are scale-adaptive. Moreover, our analysis points out different regimes in the dynamical behaviour of the market indices under consideration.

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