Scaling in the market of futures

Enrico Scalas

doi:10.1016/S0378-4371(97)00652-3

Scaling in the market of futures

Enrico Scalas

Research output: Contribution to journal › Article › peer-review

Abstract

The price time series of the Italian government bonds (BTP) futures is studied by means of scaling concepts originally developed for random walks in statistical physics. The series of overnight price differences is mapped onto a one-dimensional random walk: the bond walk. The analysis of the root mean square fluctuation function and of the auto-correlation function indicates the absence of both short- and long-range correlations in the bond walk. A simple Monte Carlo simulation of a random walk with trinomial probability distribution is able to reproduce the main features of the bond walk.

Original language	English
Pages (from-to)	394-402
Number of pages	9
Journal	Physica A: Statistical Mechanics and its Applications
Volume	253
Issue number	1-4
DOIs	https://doi.org/10.1016/S0378-4371(97)00652-3
Publication status	Published - 1 May 1998
Externally published	Yes

Keywords

Complex systems
Financial markets
Random walks

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10.1016/S0378-4371(97)00652-3

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AB - The price time series of the Italian government bonds (BTP) futures is studied by means of scaling concepts originally developed for random walks in statistical physics. The series of overnight price differences is mapped onto a one-dimensional random walk: the bond walk. The analysis of the root mean square fluctuation function and of the auto-correlation function indicates the absence of both short- and long-range correlations in the bond walk. A simple Monte Carlo simulation of a random walk with trinomial probability distribution is able to reproduce the main features of the bond walk.

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KW - Financial markets

KW - Random walks

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IS - 1-4

ER -

Scaling in the market of futures

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Keywords

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