DocumentCode
2029080
Title
Antipersistent trading ranges
Author
Lynch, Paul E. ; Allinson, Nigel M.
Author_Institution
Inst. of Sci. & Technol., Manchester Univ., UK
fYear
2000
fDate
2000
Firstpage
197
Lastpage
208
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/CIFER.2000.844626
Filename
844626
Link To Document