Eur. Phys. J. B 58, 207-220 (2007)
https://doi.org/10.1140/epjb/e2007-00216-2

Multi-scale correlations in different futures markets

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

Corresponding author: ^a marco.bartolozzi@gmf.com.au

Received: 16 March 2007
Published online: 10 August 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 out how the behaviour of this parameter, usually considered as a benchmark for persistency/antipersistency recognition in time series, is largely time-scale dependent in the market context. These findings are a direct consequence of the intrinsic complexity of a system where trading strategies are scale-adaptive. Moreover, our analysis points out different regimes in the dynamical behaviour of the market indices under consideration.