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Intraday Trading Invariance in the E-mini S&P 500 Futures Market

В понедельник, 6 апреля 2015 г. состоялось очередное заседание семинара Международной лаборатории количественных финансов, на котором с докладом выступила проф. Анна Обижаева (Российская экономическая школа)

проф. Анна Обижаева (Российская экономическая школа)
co-authored with Torber G. Andersen, Oleg Bondarenko and Albert S. Kyle

Аннотация
Intraday trading patterns in the E-mini S&P 500 futures contract between January 2008 and November 2011 are consistent with the following invariance relationship: The number of transactions is proportional to the 2/3 power of the product of dollar volume and return volatility. Equivalently, the return variation per transaction is log-linearly related to trade size, with a slope coefficient of −2. This factor of proportionality deviates sharply from prior hypotheses relating volatility to transactions count or trading volume. Intraday trading invariance is motivated a priori by the intuition that market microstructure invariance, introduced by Kyle and Obizhaeva (2014) to explain bets at low frequencies, also applies to individual transactions at intraday frequencies.