11 January 2008 Applications of physical methods in high-frequency futures markets
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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.
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M. Bartolozzi, M. Bartolozzi, C. Mellen, C. Mellen, F. Chan, F. Chan, D. Oliver, D. Oliver, T. Di Matteo, T. Di Matteo, T. Aste, T. Aste, } "Applications of physical methods in high-frequency futures markets", Proc. SPIE 6802, Complex Systems II, 680203 (11 January 2008); doi: 10.1117/12.758431; https://doi.org/10.1117/12.758431
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