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Intraday Trading Invariance in the E-Mini S&P 500 Futures Market · Study

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PreprintIntraday Trading Invariance in the E-Mini S&P 500 Futures Market

Torben G. Andersen2015

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Preprintgreen2015

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

Torben G. Andersen · Oleg Bondarenko · Albert S. Kyle · Anna A. Obizhaeva

27 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1988A Theory of Intraday Patterns: Volume and Price Variability 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2001Optimal execution of portfolio transactions 1983The Price Variability-Volume Relationship on Speculative Markets 1997Intraday periodicity and volatility persistence in financial markets 2003A theory of power-law distributions in financial market fluctuations 1998Optimal control of execution costs 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

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Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2693810

openalex_workW2181235075

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