Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market

Mardi Dungey, Nagaratnam Jeyasreedharan () and Tuo Li ()
Additional contact information
Tuo Li: School of Economics and Finance, University of Tasmania

No 10451, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: This paper models the time between trades of the after-hours electronically traded equity futures market, a market which is previously unstudied in this regard. Using a relatively long 2 year data set, trades in the NASDAQ and S&P500 equity futures are shown to require different forms of autoregressive conditional duration models, including longer lag lengths than previous spot data applications. Volume provides an informative mark in both cases. The S&P500 necessitates a threshold model where the majority of trades display the typical low autocorrelation and strong clustering evident in other assets, but with large durations more autocorrelated with low clustering.

Keywords: duration; high frequency data; electronic futures markets (search for similar items in EconPapers)
JEL-codes: C22 C41 C52 G12 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2010-05-30, Revised 2012-05-30
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published by the University of Tasmania. Discussion paper 2010-07

Downloads: (external link)
http://eprints.utas.edu.au/10451/1/DP2010-07_Dungey_Sree_Li_May_2010.pdf

Related works:
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:tas:wpaper:10451

Access Statistics for this paper

More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().