The Intraday Multivariate Structure of the Eurofutures Markets

GBA.1997-11-25

29 Pages Posted: 3 Aug 1998

See all articles by Giuseppe Ballocchi

Giuseppe Ballocchi

Pictet & Cie, Banquiers

Carl M. Hopman

Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)

Michel M. Dacorogna

DEAR-Consulting

Ulrich A. Müller

Olsen & Associates

Richard B. Olsen

Lykke Corp

Date Written: April 7, 1998

Abstract

We investigate the multivariate intraday structure in interest rates, focusing on implied forward rates from Eurofutures contracts. Since futures markets are the most liquid for interest rate instruments and they yield high-quality intraday data, it is somehow surprising that their intraday behavior has not been thoroughly studied in the literature. We find interesting similarities with the foreign exchange market in terms of scaling law, intraday patterns, all of which point to the heterogeneity of market participants. Other properties like asymmetric causal information flow between fine and coarse volatilities for the same time series are present in our data. There are also lead/lag correlation across maturities and currencies, but they that tend to disappear as markets mature. A principal component analysis of the short end of the yield curve allows us to determine the most important components and to reduce the number of time series needed to describe the term structure. We find the decomposition rather stable over time. The first component which describes the curve level presents a HARCH effect while the remaining ones do not, having instead significant negative autocorrelations for the time series themselves. A HARCH model is applied to the first component and the impact of different market agents is discussed.

JEL Classification: G13

Suggested Citation

Ballocchi, Giuseppe and Hopman, Carl M. and Dacorogna, Michel M. and Müller, Ulrich A. and Olsen, Richard B., The Intraday Multivariate Structure of the Eurofutures Markets (April 7, 1998). GBA.1997-11-25 . Available at SSRN: https://ssrn.com/abstract=98068 or http://dx.doi.org/10.2139/ssrn.98068

Giuseppe Ballocchi (Contact Author)

Pictet & Cie, Banquiers

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

Carl M. Hopman

Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) ( email )

77 Massachusetts Avenue
Cambridge, MA 02139-4307
United States

Michel M. Dacorogna

DEAR-Consulting ( email )

Scheuchzerstrasse 160
Zurich, 8057
Switzerland
+41795447327 (Phone)

Ulrich A. Müller

Olsen & Associates ( email )

Seefeldstrasse 233
CH-8008 Zurich
Switzerland
+41 (1) 386 48 16 (Phone)
+41 (1) 422 22 82 (Fax)

Richard B. Olsen

Lykke Corp ( email )

Baarerstrasse 2
Zug, Zug 6300
Switzerland
41793368950 (Phone)

HOME PAGE: http://www.lykke.com

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