Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

50 Pages Posted: 22 Nov 2015 Last revised: 8 Aug 2018

See all articles by Torben G. Andersen

Torben G. Andersen

Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER); Aarhus University - CREATES

Oleg Bondarenko

University of Illinois at Chicago - Department of Finance

Albert S. Kyle

University of Maryland

Anna A. Obizhaeva

New Economic School (NES)

Date Written: August 3, 2018

Abstract

We document a transaction level invariance relation among concurrent activity variables in the S&P 500 futures market: return volatility per transaction is proportional to the inverse of the squared expected trade size. It captures the time series behavior extremely well. Even more strikingly, it also provides a good fit to the intraday activity patterns. No prior study quantifies this association across the daily trading cycle or predicts the time series and intraday interactions to line up in a consistent manner. The findings pose a challenge for theories seeking to rationalize the trading process on the world's primary equity-index futures market.

Keywords: market microstructure, invariance, high-frequency trading, liquidity, volatility, volume, time series, intraday patterns

Suggested Citation

Andersen, Torben G. and Bondarenko, Oleg and Kyle, Albert (Pete) S. and Obizhaeva, Anna A., Intraday Trading Invariance in the E-Mini S&P 500 Futures Market (August 3, 2018). Available at SSRN: https://ssrn.com/abstract=2693810 or http://dx.doi.org/10.2139/ssrn.2693810

Torben G. Andersen

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Oleg Bondarenko (Contact Author)

University of Illinois at Chicago - Department of Finance ( email )

2431 University Hall (UH)
601 S. Morgan Street
Chicago, IL 60607-7124
United States
(312) 996-2362 (Phone)
(312) 413-7948 (Fax)

Albert (Pete) S. Kyle

University of Maryland ( email )

College Park
College Park, MD 20742
United States

Anna A. Obizhaeva

New Economic School (NES) ( email )

100A Novaya ul
Moscow, Skolkovo 143026
Russia

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