Applications of physical methods in high-frequency futures markets
arXiv:0712.2910 · doi:10.1117/12.758431
Abstract
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.
arXiv comment14 Pages and 10 figures. Proceeding to the SPIE conference, 4 - 7 December 2007 Australian National Univ. Canberra, ACT, Australia
References in corpus (10)
- First Passage Time Distribution for Anomalous Diffusion
- Multiscaling and Structure Functions in Turbulence: An Alternative Approach
- True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence
- Stochastic Opinion Formation in Scale-Free Networks
- Inverse Statistics in the Foreign Exchange Market
- Stochastic Cellular Automata Model for Stock Market Dynamics
- Exit time of turbulent signals: a way to detect the intermediate dissipative range
- Inverse statistics in stock markets: Universality and idiosyncracy
- What really causes large price changes?
- Burstiness and Memory in Complex Systems