Fluctuation patterns in high-frequency financial asset returns
Abstract
We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales. In order to subtract trivial autocorrelation parts from the pattern conformity, we introduce a simple model for reproducing the antipersistent regime and use alternatively level 1 quotes. When we remove the pattern conformity of this stochastic process from the original data, remaining pattern-based correlations can be observed.
- Publication:
-
EPL (Europhysics Letters)
- Pub Date:
- June 2008
- DOI:
- 10.1209/0295-5075/82/68005
- Bibcode:
- 2008EL.....8268005P