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High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures

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  • Jing Nie

Abstract

This paper estimates a collection of high‐frequency informational efficiency metrics by constructing a unique Eurodollar futures data set with the complete messaging history. To capture price efficiency, this paper calculates the mid‐quote return autocorrelations following a full range of time intervals. The findings suggest the mid‐quote return autocorrelations are positive and gradually increase from the tick‐level to 30‐min. Then, I utilize a vector autoregression to estimate the pricing error, which shows the adjustment time of trade returns is completed in 1 s. Furthermore, trade prices are less sensitive about incorporating any available new information as the Eurodollar futures approaches its maturity.

Suggested Citation

  • Jing Nie, 2019. "High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1394-1434, November.
    • Handle: RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1394-1434
    DOI: 10.1002/fut.22016
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