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Proceedings Paper

Applications of physical methods in high-frequency futures markets
Author(s): M. Bartolozzi; C. Mellen; F. Chan; D. Oliver; T. Di Matteo; T. Aste
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Paper Abstract

In the present work we demonstrate the application of different physical methods to high-frequency or tick-bytick 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.

Paper Details

Date Published: 11 January 2008
PDF: 14 pages
Proc. SPIE 6802, Complex Systems II, 680203 (11 January 2008); doi: 10.1117/12.758431
Show Author Affiliations
M. Bartolozzi, Grinham Managed Funds (Australia)
Univ. of Adelaide (Australia)
C. Mellen, Grinham Managed Funds (Australia)
F. Chan, Grinham Managed Funds (Australia)
D. Oliver, Grinham Managed Funds (Australia)
T. Di Matteo, The Australian National Univ. (Australia)
T. Aste, The Australian National Univ. (Australia)


Published in SPIE Proceedings Vol. 6802:
Complex Systems II
Derek Abbott; Tomaso Aste; Murray Batchelor; Robert Dewar; Tiziana Di Matteo; Tony Guttmann, Editor(s)

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