Fluctuation patterns in high-frequency financial asset returns

@article{Preis2008FluctuationPI,
  title={Fluctuation patterns in high-frequency financial asset returns},
  author={Tobias Preis and W. Paul and John J. Schneider},
  journal={EPL (Europhysics Letters)},
  year={2008},
  volume={82},
  pages={68005}
}
We 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… 

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