Multi-scale correlations in different futures markets

TL;DR

This study explores the multiscale correlations in futures markets using high-frequency data, revealing time-scale dependent behaviors of the local Hurst exponent and identifying different market regimes over two years.

Contribution

It introduces an analysis of multiscale correlations in futures markets using the local Hurst exponent, highlighting scale-dependent behaviors and market regimes.

Findings

Hurst exponent behavior varies with time scale

Different market regimes identified

Correlations are scale-dependent

Abstract

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) 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.