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Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market (Discussion Paper 2010-07)

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Dungey, M and Jeyasreedharan, N and Li, T (2010) Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market (Discussion Paper 2010-07). Discussion Paper. School of Economics and Finance, University of Tasmania. (Unpublished)

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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.

Item Type: Report (Discussion Paper)
Keywords: duration, high frequency data, electronic futures markets, RePEc
Publisher: School of Economics and Finance, University of Tasmania
Date Deposited: 29 Nov 2010 05:22
Last Modified: 27 Nov 2012 02:01
URI: http://eprints.utas.edu.au/id/eprint/10451
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