Fluctuation patterns in high-frequency financial asset returns

  title={Fluctuation patterns in high-frequency financial asset returns},
  author={Tobias Preis and Wolfgang Paul and Johannes J. Schneider},
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… Expand

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