We study the serial correlation of high-frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000-2002. We adopt three different methods of analysis: the spectral density via Fast Fourier Transform, Detrended Fluctuation Analysis (DFA) and the Variance Ratio test. We find that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, but we support the efficiency of the Italian futures market.
Bianco, S., Reno', R. (2005). Serial correlation in the Italian futures market. In Proceedings SPIE 5848 (pp.318-329). SPIE [10.1117/12.607897].
Serial correlation in the Italian futures market
Reno', Roberto
2005-01-01
Abstract
We study the serial correlation of high-frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000-2002. We adopt three different methods of analysis: the spectral density via Fast Fourier Transform, Detrended Fluctuation Analysis (DFA) and the Variance Ratio test. We find that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, but we support the efficiency of the Italian futures market.
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https://hdl.handle.net/11365/34517
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