Intraday Statistical Properties of Eurofutures

Olsen & Associates Working Paper No. 320

51 Pages Posted: 30 Mar 1999

See all articles by Ramazan Gencay

Ramazan Gencay

Simon Fraser University

Giuseppe Ballocchi

Pictet & Cie, Banquiers

Michel M. Dacorogna

DEAR-Consulting

Barbara Piccinato

Olsen & Associates

Date Written: December 1998

Abstract

This paper studies the statistical properties of the price, volatility and tick 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, 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 account in the conditional mean and conditional volatility models of futures markets.

In addition, the return series exhibit serial correlation which provides evidence for predictability and timing ability. This predictability does not translate itself into net profitability in the short horizons such as three minutes data. However, the net profitability opportunities exist at the lower frequencies such as the thirty minutes horizon after taking trading costs into account.

JEL Classification: C10, G14

Suggested Citation

Gencay, Ramazan and Ballocchi, Giuseppe and Dacorogna, Michel M. and Piccinato, Barbara, Intraday Statistical Properties of Eurofutures (December 1998). Olsen & Associates Working Paper No. 320, Available at SSRN: https://ssrn.com/abstract=155088 or http://dx.doi.org/10.2139/ssrn.155088

Ramazan Gencay (Contact Author)

Simon Fraser University ( email )

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

Giuseppe Ballocchi

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)

Barbara Piccinato

Olsen & Associates ( email )

Seefeldstrasse 233
CH-8008 Zurich
Switzerland

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