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.
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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
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