23 May 2005 Serial correlation in the Italian futures market
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Proceedings Volume 5848, Noise and Fluctuations in Econophysics and Finance; (2005) https://doi.org/10.1117/12.607897
Event: SPIE Third International Symposium on Fluctuations and Noise, 2005, Austin, Texas, United States
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.
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Simone Bianco, Simone Bianco, Roberto Reno, Roberto Reno, } "Serial correlation in the Italian futures market", Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); doi: 10.1117/12.607897; https://doi.org/10.1117/12.607897
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