EconPapers    
Economics at your fingertips  
 

Intraday Trading Invariance in the E-mini S&P 500 Futures Market

Torben Andersen (), Oleg Bondarenko (), Albert Kyle () and Anna Obizhaeva ()
Additional contact information
Oleg Bondarenko: University of Illinois at Chicago
Albert Kyle: University of Maryland
Anna Obizhaeva: New Economic School

No w0272, Working Papers from New Economic School (NES)

Abstract: The trading activity in the E-mini S&P 500 futures contract between January 2008 and September 2011 is consistent with the following high-frequency invariance relationship: The return variation per transaction is log-linearly related to trade size, with a slope coeffcient of -2. This association applies both in the time series and across a pronounced intraday pattern. The documented factor of proportionality deviates sharply from prior hypotheses relating volatility to trading intensity. High-frequency trading invariance is motivated a priori by the intuition that market microstructure invariance, introduced by Kyle and Obizhaeva (2016a) to explain bets at low frequencies, also applies to transactions over short intraday intervals. It raises the prospect of identifying periods of market stress in real time and poses intriguing challenges for market microstructure research.

Keywords: market microstructure; invariance; high-frequency trading; liquidity; volatility; volume; time series; intraday patterns (search for similar items in EconPapers)
Pages: 51 pages
Date: 2020-08
New Economics Papers: this item is included in nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.nes.ru/files/Preprints-resh/WP272.pdf (application/pdf)

Related works:
Working Paper: Intraday Trading Invariance in the E-mini S&P 500 Futures Market (2016) Downloads
Working Paper: Intraday Trading Invariance in the E-mini S&P 500 Futures Market (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:abo:neswpt:w0272

Access Statistics for this paper

More papers in Working Papers from New Economic School (NES) Contact information at EDIRC.
Bibliographic data for series maintained by Vladimir Ivanyukhin ().

 
Page updated 2022-09-24
Handle: RePEc:abo:neswpt:w0272