A Closer Look at the Eurofutures Market: Intraday Statistical Analysis

21 Pages Posted: 3 Aug 1998  

Barbara Piccinato

Olsen & Associates

Giuseppe Ballocchi

Pictet & Cie, Banquiers

Michel M. Dacorogna

DEAR-Consulting

Ramazan Gencay

Simon Fraser University

Abstract

This paper studies the statistical properties of the price and volatility dynamics of the intraday Eurofutures markets by utilizing the transactions and quote data. We build two different types of price series, by position and by contract.

The findings indicate numerous sources of intraday and intraweek seasonality. First, intraday volatility tends to decrease towards the maturity date. Second, intraday price changes and tick activity display U-shaped seasonalities with peaks occuring at opening and closing hours. Third, there is evidence of intraweek seasonalities where the level of activity displays a minimum on Monday and a maximum on the last two working days of the weeks.

The findings of this paper suggest that a model of volatility for futures markets should correct for the seasonality originating from the maturity effect. In addition, U-shaped intraday seasonalities and intraweek seasonalities should be properly taken into an account in the conditional mean and conditional volatility models of futures markets.

JEL Classification: G13

Suggested Citation

Piccinato, Barbara and Ballocchi, Giuseppe and Dacorogna, Michel M. and Gencay, Ramazan, A Closer Look at the Eurofutures Market: Intraday Statistical Analysis. Available at SSRN: https://ssrn.com/abstract=100591 or http://dx.doi.org/10.2139/ssrn.100591

Barbara Piccinato

Olsen & Associates ( email )

Seefeldstrasse 233
CH-8008 Zurich
Switzerland

Giuseppe Ballocchi (Contact Author)

Pictet & Cie, Banquiers

29, boulevard Georges-Favon
CH-1204 Geneve
United States

Michel M. Dacorogna

DEAR-Consulting ( email )

Scheuchzerstrasse 160
Zurich, 8057
Switzerland
+41795447327 (Phone)

Ramazan Gencay

Simon Fraser University ( email )

Department of Economics
8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada

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