Intraday Trading Invariance in the E-mini S&P 500 Futures Market
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- Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0229, New Economic School (NES).
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
- Barardehi, Yashar H. & Bernhardt, Dan & Ruchti, Thomas G., 2019. "A test of speculative arbitrage: is the cross-section of volatility invariant?," The Warwick Economics Research Paper Series (TWERPS) 1204, University of Warwick, Department of Economics.
- Fr'ed'eric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Papers 1902.03457, arXiv.org.
More about this item
Keywordsmarket microstructure; invariance; bets; high-frequency trading; liquidity; volatility; volume; business time; time series; intraday patterns;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2017-02-05 (Agricultural Economics)
- NEP-FMK-2017-02-05 (Financial Markets)
- NEP-MST-2017-02-05 (Market Microstructure)
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