Berlin 2008 – wissenschaftliches Programm

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 13: Poster Session (posters on display 10:00-19:00)

AKSOE 13.3: Poster

Mittwoch, 27. Februar 2008, 17:30–19:00, Poster G

Complex Correlations in High Frequency Asset Returns — •Tobias Preis, Wolfgang Paul, and Johannes J. Schneider — Institute of Physics, Johannes Gutenberg University of Mainz, Staudinger Weg 7, 55099 Mainz, Germany

We analyze the conditional probability distribution functions of high frequent financial market data returns in order to test the randomness of financial markets. An observable for pattern conformity is introduced, which is able to measure complex correlations in a time series on short time scales. When we apply this method to high-frequency time series of the German DAX future contract, we find significant correlations on short time scales. We find strong correlations if one takes additionally into account transaction volumes and inter-trade waiting times.