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Eur. Phys. J. B 58, 207220 (2007) DOI: 10.1140/epjb/e2007-00216-2 THE EUROPEAN
 

Summary: Eur. Phys. J. B 58, 207220 (2007)
DOI: 10.1140/epjb/e2007-00216-2 THE EUROPEAN
PHYSICAL JOURNAL B
Multi-scale correlations in different futures markets
M. Bartolozzi1,2,a
, C. Mellen1
, T. Di Matteo3
, and T. Aste3
1
Research Group, Grinham Managed Funds, Sydney NSW 2065, Australia
2
Special Research Centre for the Subatomic Structure of Matter (CSSM), University of Adelaide, Adelaide SA 5005, Australia
3
Department of Applied Mathematics, Research School of Physical Sciences and Engineering, The Australian National
University, Canberra ACT 0200, Australia
Received 16 March 2007
Published online 10 August 2007 c EDP Sciences, Societ`a Italiana di Fisica, Springer-Verlag 2007
Abstract. In the present work we investigate the multiscale nature of the correlations for high frequency
data (1 min) in different futures markets over a period of two years, starting on the 1st of January 2003 and
ending on the 31st of December 2004. In particular, by using the concept of local Hurst exponent, we point

  

Source: Aste, Tomaso - Department of Applied Mathematics, Australian National University
Di Matteo, Tiziana - Department of Mathematics, King's College London

 

Collections: Materials Science; Mathematics; Physics