Multi-scale correlations in different future markets

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 1 of January 2003 and ending on the 31 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. PACS. Econophysics – Multiscale Phenomena – Detrended Fluctuation Analysis – Time series analysis