Advertisement

The European Physical Journal B

, Volume 58, Issue 2, pp 207–220 | Cite as

Multi-scale correlations in different futures markets

  • M. BartolozziEmail author
  • C. Mellen
  • T. Di Matteo
  • T. Aste
Interdisciplinary Physics

Abstract.

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 min) 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.

PACS.

89.65.Gh Economics; econophysics, financial markets, business and management 05.45.Tp Time series analysis  

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. C. Tsallis, C. Anteneodo, L. Borland, R. Osorio, Physica A 324, 183 (2003) CrossRefGoogle Scholar
  2. C. Beck, E.G.D. Cohen, Physica A 322, 189 (2002) CrossRefADSGoogle Scholar
  3. M.M. Dacorogna, U.A. Müller, R.B. Olsen, O.V. Pictet, Quant. Finan. 1, 198 (2001) Google Scholar
  4. R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics: Correlation and Complexity in Finance, (Cambridge University Press, Cambridge, 1999) Google Scholar
  5. J.-P. Bouchaud, M. Potters, Theory of Financial Risk and Derivative ricing: from Statistical Physics to Risk Managment (Cambridge University Press, Cambridge, 1999) Google Scholar
  6. W. Paul, J. Baschnagel, Stochastic Processes: From Physics to Finance (Springer-Verlag, Berlin, 1999) Google Scholar
  7. M.M. Dacorogna, R. Gençay, U.A. Müller, R.B. Olsen, O.V. Pictet, An Introduction to High-frequency Finance (Academic Press, San Diego, 2001) Google Scholar
  8. J. Feigenbaum, Rep. Prog. Phys. 66, 1611 (2003) CrossRefADSGoogle Scholar
  9. Proceedings to the international conference “Econophysics Colloquium", Physica A 370(1) (2006) Google Scholar
  10. “Topical Issue: Trends in Econophysics", Eur. Phys. J. B 55 (2007) Google Scholar
  11. C.-K. Peng et al., Phys. Rev. E 49, 1685 (1994) CrossRefADSGoogle Scholar
  12. J. Feder, Fractals (Plenum Press, New York & London, 1988) Google Scholar
  13. H. Hurst, Trans. Amer. Soc. Civil Eng. 116, 770 (1951) Google Scholar
  14. S.V. Muniandy, S.C. Lim, R. Murugan, Physica A 301, 407 (2001) zbMATHCrossRefADSGoogle Scholar
  15. R.L. Costa, G.L. Vasconcelos, Physica A 329, 231 (2003) zbMATHCrossRefADSGoogle Scholar
  16. D.O. Cajueiro, B.M. Tabak, Physica A 336, 521 (2004) CrossRefADSGoogle Scholar
  17. D. Grech, Z. Mazur, Physica A 336, 133 (2004) CrossRefADSGoogle Scholar
  18. A. Carbone, G. Castelli, H.E. Stanley, Physica A 344, 267 (2004) CrossRefADSGoogle Scholar
  19. T. Di Matteo, Quant. Finan. 7(1), 21 (2007) CrossRefGoogle Scholar
  20. P. Cizeau, Y.H. Liu, M. Meyer, C.K. Peng, H.E. Stanley, Physica A 245, 441 (1997) CrossRefADSGoogle Scholar
  21. Y.H. Liu, P. Cizeau, M. Meyer, C.K. Peng, H.E. Stanley, Physica A 245, 437 (1997) CrossRefADSGoogle Scholar
  22. N. Vandewalle, M. Ausloos, Physica A 246, 454 (1997) CrossRefADSGoogle Scholar
  23. Y. Liu, P. Gopikrishnan, P. Cizeau M. Mayer, C.-K. Peng, H.E. Stanley, Phys. Rev. E 60, 1390 (1999) CrossRefADSGoogle Scholar
  24. I.M. J\(\acute{ \rm a}\)nosi, B. Janecsk\(\acute{ \rm o}\), I. Kondor, Physica A 269, 111 (1999) CrossRefGoogle Scholar
  25. P. Gopikrishnan, V. Plerou, Y. Liu, L.A.N. Amaral, X. Gabaix, H.E. Stanley, Physica A 287, 362 (2000) CrossRefADSGoogle Scholar
  26. P. Gopikrishnan, V. Plerou, X. Gabaix, L.A.N. Amaral, H.E. Stanley, Physica A 299, 137 (2001) zbMATHCrossRefADSGoogle Scholar
  27. K. Matia, L.A.N. Amara, S.P. Goodwin, H.E. Stanley, Phys. Rev. E 66, 045103(R) (2002) CrossRefADSGoogle Scholar
  28. P. Ivanov, A. Yuen, B. Podobnik, Y. Liu, Phys. Rev. E 69, 56107 (2004) CrossRefADSGoogle Scholar
  29. Z. Eisler, J. Kert\(\rm \acute{e}\)sz, e-print arXiv:cond-mat/0606161 (2006) Google Scholar
  30. R. Weron, Physica A 312, 285 (2002) zbMATHCrossRefADSGoogle Scholar
  31. L. Xu, P. Ivanov, K. Hu, Z. Chen, A. Carbone, H.E. Stanley, Phys. Rev. E 71, 051101 (2005) CrossRefADSGoogle Scholar
  32. J.W. Kantelhardt et al., Physica A 316, 87 (2002) CrossRefGoogle Scholar
  33. V. Alfi, F. Coccetti, A. Petri, L. Pietronero, Eur. Phys. J. B 55, 135 (2007) CrossRefADSGoogle Scholar
  34. P. Abry, F. Sellan, Appl. Comp. Harmonic Anal. 3, 377 (1996) zbMATHCrossRefGoogle Scholar
  35. Z. Eisler, J.J. Kert\(\rm \acute{e}\)sz, Eur. Phys. J. B 51, 145 (2006) CrossRefADSGoogle Scholar
  36. G. Samorodnitzky, M.S. Taqqu, Stable non-Gaussian Random Processes: Stochastic Models with Infinite Variance (Chapman & Hall, New York, 1994) Google Scholar
  37. P.A. Groenendijk, A. Lucas, C.G. de Vries, Preprint of Erasmus University 1, 1 (1998) (http://www.few.eur.nl/few/people/cdevries/) Google Scholar
  38. K. Kiyani, S.C. Chapman, B. Hnat, e-print arXiv:physics/0607238 Google Scholar
  39. K. Hu, P. Ivanov, Z. Chen, P. Carpena, H.E. Stanley, Phys. Rev. E 64, 011114 (2001) CrossRefADSGoogle Scholar
  40. M. Bartolozzi, D.B. Leinweber, A.W. Thomas, Physica A 370, 132 (2006) CrossRefADSGoogle Scholar
  41. T. Di Matteo, T. Aste, M.M. Dacorogna, Physica A 324, 183 (2003) zbMATHCrossRefADSGoogle Scholar
  42. T. Di Matteo, T. Aste, M.M. Dacorogna, J. Bank. Fin. 29, 827 (2005) CrossRefGoogle Scholar
  43. R. Liu, T. Lux, T. Di Matteo, Physica A 383, 35 (2007) CrossRefADSGoogle Scholar
  44. S. Dro\(\rm \dot{z}\)d\(\rm \dot{z}\), J. Kwapie\(\acute{\rm n}\), F. Gr\(\ddot{\rm u}\)mmer, F. Ruff, J. Speth, Physica A 299, 144 (2001) CrossRefADSGoogle Scholar
  45. V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, T. Guhr, H.E. Stanley, Phys. Rev. E 65, 066126 (2002) CrossRefADSGoogle Scholar
  46. M. Potters, J.-P. Bouchaud, L. Laloux, e-print arXiv:physics/0507111 Google Scholar
  47. M. Tumminello, T. Aste, T. Di Matteo, R.N. Mantegna, PNAS 102, 10421 (2005) CrossRefADSGoogle Scholar
  48. R. Marschinski, H. Kantz, Eur. Phys. J. B 30, 275 (2002) CrossRefADSGoogle Scholar
  49. J.-P. Bouchaud, M. Potters, M. Mayer, Eur. J. Phys. B 13, 595 (2000) ADSGoogle Scholar
  50. T. Lux, Quant. Fina. 1, 632 (2001) CrossRefGoogle Scholar
  51. L. Calvet, A. Fisher, Rev. Econ. Statist. 84, 381 (2002) CrossRefGoogle Scholar
  52. T. Lux, Int. J. Mod. Phys. C 15, 481 (2004) CrossRefADSGoogle Scholar
  53. L. Borland, J.-P. Bouchaud, J.-F. Muzy, G. Zumbach, e-print arXiv:cond-mat/0501292 Google Scholar

Copyright information

© EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Authors and Affiliations

  • M. Bartolozzi
    • 1
    • 2
    Email author
  • C. Mellen
    • 1
  • T. Di Matteo
    • 3
  • T. Aste
    • 3
  1. 1.Research Group, Grinham Managed FundsSydneyAustralia
  2. 2.Special Research Centre for the Subatomic Structure of Matter (CSSM), University of AdelaideAdelaideAustralia
  3. 3.Department of Applied MathematicsResearch School of Physical Sciences and Engineering, The Australian National UniversityCanberraAustralia

Personalised recommendations