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: Department of Finance (MC 168), University of Illinois at Chicago
Albert Kyle: Robert H. Smith School of Business, University of Maryland
No w0229, Working Papers from Center for Economic and Financial Research (CEFIR)
The intraday trading patterns in the E-mini S&P 500 futures contract between January 2008 and November 2011 are consistent with the following invariance relationship: The return variation per transaction is log-linearly related to trade size, with a slope coefficient of -2. This association applies both across the pronounced intraday diurnal pattern and across days in the time series. The documented factor of proportionality deviates sharply from prior hypotheses relating volatility to transactions count or trading volume. Intraday trading invariance is motivated a priori by the intuition that market microstructure invariance, introduced by Kyle and Obizhaeva (2016c) to explain bets at low frequencies, also applies to transactions over high intraday frequencies.
Keywords: market microstructure; invariance; bets; high-frequency trading; liquidity; volatility; volume; business time; time series; intraday patterns (search for similar items in EconPapers)
Pages: 47 pages
New Economics Papers: this item is included in nep-agr, nep-fmk and nep-mst
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Working Paper: Intraday Trading Invariance in the E-mini S&P 500 Futures Market (2020)
Working Paper: Intraday Trading Invariance in the E-mini S&P 500 Futures Market (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cfr:cefirw:w0229
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