  In the present work we investigate the multiscale nature of the correlations
for high frequency data (1 minute) in different futures markets over a period
of two years, starting on the 1st of January 2003 and ending on the 31st of
December 2004. In particular, by using the concept of "local" Hurst exponent,
we point out how the behaviour of this parameter, usually considered as a
benchmark for persistency/antipersistency recognition in time series, is
largely time-scale dependent in the market context. These findings are a direct
consequence of the intrinsic complexity of a system where trading strategies
are scale-adaptive. Moreover, our analysis points out different regimes in the
dynamical behaviour of the market indices under consideration.
