摘要翻译：
在本工作中，我们展示了不同物理方法在高频或逐滴答的金融时间序列数据中的应用。特别地，我们计算了一系列期货指数的价格时间序列的Hurst指数和逆统计量。此外，我们还证明了在极限序书中，需求或供给较多的不平衡书状态的松弛时间可以用伸展指数定律来描述，类似于许多物理系统中所见的定律。
---
英文标题：
《Applications of physical methods in high-frequency futures markets》
---
作者：
M. Bartolozzi, C. Mellen, F. Chan, D. Oliver, T. Di Matteo, T. Aste
---
最新提交年份：
2007
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--
一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
--
一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

---
英文摘要：
  In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we show that in a limit order book the relaxation times of an imbalanced book state with more demand or supply can be described by stretched exponential laws analogous to those seen in many physical systems.
---
PDF链接：
https://arxiv.org/pdf/0712.2910