6533b86efe1ef96bd12cc716
RESEARCH PRODUCT
Fluctuation patterns in high-frequency financial asset returns
Johannes J. SchneiderTobias PreisTobias PreisWolfgang Paulsubject
Series (mathematics)Stochastic processOrder (exchange)media_common.quotation_subjectAutocorrelationEconometricsGeneral Physics and AstronomyTime seriesRandom walkMeasure (mathematics)Conformitymedia_commonMathematicsdescription
We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales. In order to subtract trivial autocorrelation parts from the pattern conformity, we introduce a simple model for reproducing the antipersistent regime and use alternatively level 1 quotes. When we remove the pattern conformity of this stochastic process from the original data, remaining pattern-based correlations can be observed.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2008-06-01 | EPL (Europhysics Letters) |