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Applications of physical methods in high-frequency futures markets

Author

Listed:
  • M. Bartolozzi
  • C. Mellen
  • F. Chan
  • D. Oliver
  • T. Di Matteo
  • T. Aste

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.

Suggested Citation

  • M. Bartolozzi & C. Mellen & F. Chan & D. Oliver & T. Di Matteo & T. Aste, 2007. "Applications of physical methods in high-frequency futures markets," Papers 0712.2910, arXiv.org.
    • Handle: RePEc:arx:papers:0712.2910
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    File URL: http://arxiv.org/pdf/0712.2910
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    Cited by:

    1. M. Bartolozzi & C. Mellen, 2009. "Local Risk Decomposition for High-frequency Trading Systems," Papers 0904.4099, arXiv.org, revised Feb 2011.

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