• Media type: E-Book
  • Title: Intraday Trading Invariance in the E-Mini S&P 500 Futures Market
  • Contributor: Andersen, Torben G. [Author]; Bondarenko, Oleg [Other]; Kyle, Albert S. [Other]; Obizhaeva, Anna A. [Other]
  • Published: [S.l.]: SSRN, [2018]
  • Extent: 1 Online-Ressource (50 p)
  • Language: English
  • DOI: 10.2139/ssrn.2693810
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 3, 2018 erstellt
  • Description: We document a transaction level invariance relation among concurrent activity variables in the S&P 500 futures market: return volatility per transaction is proportional to the inverse of the squared expected trade size. It captures the time series behavior extremely well. Even more strikingly, it also provides a good fit to the intraday activity patterns. No prior study quantifies this association across the daily trading cycle or predicts the time series and intraday interactions to line up in a consistent manner. The findings pose a challenge for theories seeking to rationalize the trading process on the world's primary equity-index futures market
  • Access State: Open Access