Antipersistent trading ranges

Lynch, Paul E. and Allinson, Nigel (2000) Antipersistent trading ranges. In: IEEE/IAFE/INFORNS 2000: 6th Conference on Computational Intelligence for Financial Engineering (CIFEr), 26-28 March 2000, New York.

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Item Type:Conference or Workshop contribution (Paper)
Item Status:Live Archive

Abstract

This article considers the dynamics of speculative trading ranges. Daily trading ranges provide good estimates of the level of speculative volatility, and analysis of the daily trading range of twenty US futures markets finds that first order differences of the logarithm of daily range show significant negative autocorrelation. This mean-reverting process is also revealed with Hurst analysis. Spectral Analysis shows that the underlying dynamics of speculative trading ranges is a pink noise process with each futures market yielding a spectral exponent below that of brown noise.

Keywords:Hurst analysis, Spectral analysis, Trading ranges, Calculations, Commerce, Estimation, Marketing, Mathematical models, Sales, Finance
Subjects:N Business and Administrative studies > N300 Finance
G Mathematical and Computer Sciences > G400 Computer Science
Divisions:College of Science > School of Computer Science
ID Code:8581
Deposited On:17 Apr 2013 14:13

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