Title :
Antipersistent trading ranges
Author :
Lynch, Paul E. ; Allinson, Nigel M.
Author_Institution :
Inst. of Sci. & Technol., Manchester Univ., UK
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 :
commodity trading; costing; time series; Hurst analysis; antipersistent trading ranges; futures markets; mean-reverting process; negative autocorrelation; spectral analysis; spectral exponent; speculative trading ranges; speculative volatility; 1f noise; Accuracy; Autocorrelation; Displays; Measurement standards; Petroleum; Pricing; Profitability; Spectral analysis; Testing;
Conference_Titel :
Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on
Conference_Location :
New York, NY
Print_ISBN :
0-7803-6429-5
DOI :
10.1109/CIFER.2000.844626
