T. Preis et al 2008 EPL 82 68005 doi:10.1209/0295-5075/82/68005
T. Preis1,2, W. Paul1 and J. J. Schneider1
Show affiliationsWe introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales. In order to subtract trivial autocorrelation parts from the pattern conformity, we introduce a simple model for reproducing the antipersistent regime and use alternatively level 1 quotes. When we remove the pattern conformity of this stochastic process from the original data, remaining pattern-based correlations can be observed.
89.65.Gh Economics; econophysics, financial markets, business and management
Issue 6 (June 2008)
Received 31 January 2008, accepted for publication 30 April 2008
Published 4 June 2008
T. Preis et al 2008 EPL 82 68005
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