High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures

Jing Nie

Journal of Futures Markets, 2019, vol. 39, issue 11, 1394-1434

Abstract: This paper estimates a collection of high‐frequency informational efficiency metrics by constructing a unique Eurodollar futures data set with the complete messaging history. To capture price efficiency, this paper calculates the mid‐quote return autocorrelations following a full range of time intervals. The findings suggest the mid‐quote return autocorrelations are positive and gradually increase from the tick‐level to 30‐min. Then, I utilize a vector autoregression to estimate the pricing error, which shows the adjustment time of trade returns is completed in 1 s. Furthermore, trade prices are less sensitive about incorporating any available new information as the Eurodollar futures approaches its maturity.

Date: 2019
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