Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
AbstractThis paper models the time between trades of the after-hours electronically traded equity futures market, a market which is previously unstudied in this regard. Using a relatively long 2 year data set, trades in the NASDAQ and S&P500 equity futures are shown to require different forms of autoregressive conditional duration models, including longer lag lengths than previous spot data applications. Volume provides an informative mark in both cases. The S&P500 necessitates a threshold model where the majority of trades display the typical low autocorrelation and strong clustering evident in other assets, but with large durations more autocorrelated with low clustering.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Tasmania, School of Economics and Finance in its series Working Papers with number 10451.
Length: 22 pages
Date of creation: 30 May 2010
Date of revision: 30 May 2012
Publication status: Published by the University of Tasmania. Discussion paper 2010-07
duration; high frequency data; electronic futures markets;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joachim Grammig & Kai-Oliver Maurer, 2000. "Non-monotonic hazard functions and the autoregressive conditional duration model," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 16-38.
- Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
- BAUWENS, Luc & VEREDAS, David, .
"The stochastic conditional duration model: a latent variable model for the analysis of financial durations,"
CORE Discussion Papers RP
-1688, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
- Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004.
"Stochastic volatility duration models,"
Journal of Econometrics,
Elsevier, vol. 119(2), pages 413-433, April.
- Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June.
- Russell, Jeffrey R. & Engle, Robert F., 2005. "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 166-180, April.
- Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- De Luca Giovanni & Gallo Giampiero M., 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-20, May.
- Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz.
- Joel Hasbrouck, 2003. "Intraday Price Formation in U.S. Equity Index Markets," Journal of Finance, American Finance Association, vol. 58(6), pages 2375-2400, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Derek Rowlands).
If references are entirely missing, you can add them using this form.