IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-0-230-29810-1_4.html
   My bibliography  Save this book chapter

The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets

In: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Author

Listed:
  • Dean Fantazzini

Abstract

The growing interest in financial markets’ microstructure and the fact that financial professionals have access to huge intraday databases have made high-frequency data modeling a hot issue in recent empirical finance literature. We analyze the 12 main issues that are at stake when analyzing intraday financial time series, with particular emphasis on the joint dynamics of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday environment that works with non-equally spaced data and considers the whole information set provided by the market. Given the growing importance of tick-by-tick data analysis, we present an empirical application of ACD and ordered probit models to the Standard & Poor 500 and Nasdaq100 index futures’ data, and we point out the advantages and disadvantages of both approaches.

Suggested Citation

  • Dean Fantazzini, 2011. "The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 4, pages 92-131, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-29810-1_4
    DOI: 10.1057/9780230298101_4
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-0-230-29810-1_4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.