Andersen, Torben G.
[Verfasser:in]
;
Bondarenko, Oleg
[Sonstige Person, Familie und Körperschaft];
Kyle, Albert S.
[Sonstige Person, Familie und Körperschaft];
Obizhaeva, Anna A.
[Sonstige Person, Familie und Körperschaft]
Intraday Trading Invariance in the E-Mini S&P 500 Futures Market
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 3, 2018 erstellt
Beschreibung:
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