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Proceedings Paper

Serial correlation in the Italian futures market
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Paper Abstract

We study the serial correlation of high-frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000-2002. We adopt three different methods of analysis: the spectral density via Fast Fourier Transform, Detrended Fluctuation Analysis (DFA) and the Variance Ratio test. We find that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, but we support the efficiency of the Italian futures market.

Paper Details

Date Published: 23 May 2005
PDF: 12 pages
Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); doi: 10.1117/12.607897
Show Author Affiliations
Simone Bianco, Univ. of North Texas (United States)
Roberto Reno, Univ. di Siena (Italy)


Published in SPIE Proceedings Vol. 5848:
Noise and Fluctuations in Econophysics and Finance
Derek Abbott; Jean-Philippe Bouchaud; Xavier Gabaix; Joseph L. McCauley, Editor(s)

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