Applications of physical methods in high-frequency futures markets

M. Bartolozzi; C. Mellen; F. Chan; D. Oliver; T. Di Matteo; T. Aste

doi:10.1117/12.758431

Applications of physical methods in high-frequency futures markets

M. Bartolozzi^*, C. Mellen, F. Chan, D. Oliver, T. Di Matteo, T. Aste

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

4 Citations (Scopus)

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.

Original language	English
Title of host publication	Complex Systems II
DOIs	https://doi.org/10.1117/12.758431
Publication status	Published - 2008
Event	Complex Systems II - Canberra, Australia Duration: 5 Dec 2007 → 7 Dec 2007

Publication series

Name	Proceedings of SPIE - The International Society for Optical Engineering
Volume	6802
ISSN (Print)	0277-786X

Conference

Conference	Complex Systems II
Country/Territory	Australia
City	Canberra
Period	5/12/07 → 7/12/07

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10.1117/12.758431

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title = "Applications of physical methods in high-frequency futures markets",

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.",

keywords = "Hurst exponent, Inverse statistics, Limit order book, Relaxation times, Time series analysis",

author = "M. Bartolozzi and C. Mellen and F. Chan and D. Oliver and {Di Matteo}, T. and T. Aste",

year = "2008",

doi = "10.1117/12.758431",

language = "English",

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AU - Bartolozzi, M.

AU - Mellen, C.

AU - Chan, F.

AU - Oliver, D.

AU - Di Matteo, T.

AU - Aste, T.

PY - 2008

Y1 - 2008

N2 - 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.

AB - 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.

KW - Hurst exponent

KW - Inverse statistics

KW - Limit order book

KW - Relaxation times

KW - Time series analysis

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U2 - 10.1117/12.758431

DO - 10.1117/12.758431

M3 - Conference contribution

SN - 9780819469731

T3 - Proceedings of SPIE - The International Society for Optical Engineering

BT - Complex Systems II

T2 - Complex Systems II

Y2 - 5 December 2007 through 7 December 2007

ER -

Applications of physical methods in high-frequency futures markets

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