Correlations and multi-affinity in high frequency financial datasets

Authors
Baviera, R Pasquini, M Serva, M Vergni, D Vulpiani, A
Citation
R. Baviera et al., Correlations and multi-affinity in high frequency financial datasets, PHYSICA A, 300(3-4), 2001, pp. 551-557
Citations number
21
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
03784371 → ACNP
Volume
300
Issue
3-4
Year of publication
2001
Pages
551 - 557
Database
ISI
SICI code
0378-4371(20011115)300:3-4<551:CAMIHF>2.0.ZU;2-7
Abstract
In this paper we perform a quantitative check of long term correlations and multi-affinity in Deutsche Mark/US Dollar exchange rates using high freque ncy data. We show that the use of business time, i.e., the ranking of the q uotes in the sequences, eliminates most of the seasonality in financial-tim e series, allowing a precise estimation of some return anomalies. (C) 2001 Elsevier Science B.V. All rights reserved.