4 research outputs found
The nature of price returns during periods of high market activity
By studying all the trades and best bids/asks of ultra high frequency
snapshots recorded from the order books of a basket of 10 futures assets, we
bring qualitative empirical evidence that the impact of a single trade depends
on the intertrade time lags. We find that when the trading rate becomes faster,
the return variance per trade or the impact, as measured by the price variation
in the direction of the trade, strongly increases. We provide evidence that
these properties persist at coarser time scales. We also show that the spread
value is an increasing function of the activity. This suggests that order books
are more likely empty when the trading rate is high.Comment: 17 pages, 11 figure
Microstructure des marchés et modélisation du flux de trading
PALAISEAU-Polytechnique (914772301) / SudocSudocFranceF
The nature of price returns during periods of high market activity
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the intertrade time lags. We find that when the trading rate becomes faster, the return variance per trade or the impact, as measured by the price variation in the direction of the trade, strongly increases. We provide evidence that these properties persist at coarser time scales. We also show that the spread value is an increasing function of the activity. This suggests that order books are more likely empty when the trading rate is high.