Nava, N;
Matteo, TD;
Aste, T;
(2016)
Time-dependent scaling patterns in high frequency financial data.
European Physical Journal: Special Topics
, 225
(10)
pp. 1997-2016.
10.1140/epjst/e2015-50328-y.
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Abstract
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying measures: 1) an amplitude scaling exponent and 2) an entropy-like measure. We apply these measures to intraday, 30-second sampled prices of various stock indices. Our results reveal intraday trends where different time-horizons contribute with variable relative amplitudes over the course of the trading day. Our findings indicate that the time series we analysed have a non-stationary multifractal nature with predominantly persistent behaviour at the middle of the trading session and anti-persistent behaviour at the open and close. We demonstrate that these deviations are statistically significant and robust.
| Type: | Article |
|---|---|
| Title: | Time-dependent scaling patterns in high frequency financial data |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1140/epjst/e2015-50328-y |
| Publisher version: | http://dx.doi.org/10.1140/epjst/e2015-50328-y |
| Language: | English |
| Additional information: | © The Author(s) 2016. Open Access. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
| Keywords: | q-fin.ST, q-fin.ST |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/1516110 |
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