Intraday Trading Invariance in the E-mini S&P 500 Futures Market
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- Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0229, New Economic School (NES).
- Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna A. Obizhaeva, 2020. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0272, New Economic School (NES).
References listed on IDEAS
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Citations
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Cited by:
- Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
- Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Are trading invariants really invariant? Trading costs matter," Post-Print hal-02323318, HAL.
- Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
- Barardehi, Yashar H. & Bernhardt, Dan & Ruchti, Thomas G., 2019. "A test of speculative arbitrage: is the cross-section of volatility invariant?," The Warwick Economics Research Paper Series (TWERPS) 1204, University of Warwick, Department of Economics.
- Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2023.
"Arbitrage bots in experimental asset markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 262-278.
- Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2019. "Arbitrage bots in experimental asset markets," MPRA Paper 96224, University Library of Munich, Germany.
- Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2020. "Industrial Organization, Order Internalization, and Invariance," Working Papers w0274, New Economic School (NES).
- Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016. "Invariance of buy-sell switching points," Working Papers w0232, Center for Economic and Financial Research (CEFIR).
- Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jan 2021.
- Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016. "Invariance of buy-sell switching points," Working Papers w0232, New Economic School (NES).
- Fr'ed'eric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Papers 1902.03457, arXiv.org.
- Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
- Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Working Papers hal-02323318, HAL.
- Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna A. Obizhaeva, 2020. "Invariance of Buy-Sell Switching Points," Working Papers w0273, New Economic School (NES).
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More about this item
Keywords
market microstructure; invariance; bets; high-frequency trading; liquidity; volatility; volume; business time; time series; intraday patterns;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2017-02-05 (Agricultural Economics)
- NEP-FMK-2017-02-05 (Financial Markets)
- NEP-MST-2017-02-05 (Market Microstructure)
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