Antipersistent trading ranges

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

Antipersistent trading ranges

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.</p