The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets

FINANCIAL ECONOMETRICS MODELING: MARKET MICROSTRUCTURE, FACTOR MODELS AND FINANCIAL RISK MEASURES, pp. 92-131, Palgrave Macmillan, 2011

Posted: 31 Jan 2011

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Date Written: January 30, 2011

Abstract

The growing interest in financial markets microstructure and the fact that financial professionals have access to huge intraday databases have made high-frequency data modelling a hot issue in recent empirical finance literature. We analyse the main issues that are at stake when analysing intraday financial time series, with particular emphasis on the joint dynamics of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday environment which work with non equally spaced data and consider the whole information set provided by the market. Given the growing importance of tick by tick data analysis, we present an empirical application of ACD and Ordered Probit models to the Standard & Poor 500 and Nasdaq100 index futures’ data, and we point out the advantages and disadvantages of both approaches.

Keywords: Intraday Data, ACD, Ordered Probit, CME, SP500 Future, NASDAQ100 Future

Suggested Citation

Fantazzini, Dean, The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures Markets (January 30, 2011). FINANCIAL ECONOMETRICS MODELING: MARKET MICROSTRUCTURE, FACTOR MODELS AND FINANCIAL RISK MEASURES, pp. 92-131, Palgrave Macmillan, 2011. Available at SSRN: https://ssrn.com/abstract=1751572

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

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