AN EXAMINATION OF THE NASDAQ 100 FUTURES CONTRACT USING ULTRA HIGH FREQUENCY DATA

Fathi Abid, Lotfi Trabelsi

Abstract


This paper conducts a study on a high frequency data of futures index contracts after the examination of the Nasdaq 100 to investigate the effects of price duration in trading process.  To achieve this prospect, we extend the Engle and Russell (1998) model, which divides the intensity effect into liquidity and information components by including additional microstructural variables.  Examining tick by tick data of Nasdaq 100 futures index futures; we find that the time duration between transactions exerts a considerable influence on price changes. Additionally, the time can be modelled in combination with variable microstructure. This evidence suggests that managing both time, trading volume and microstructural variables are important aspects of trading in the index futures markets.


Keywords


Index futures contracts, market microstructure, price impact, ultra-high frequency data, Autoregressive conditional duration

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Journal of Business and Finance

ISSN: 2305-1825 (Online), 2308-7714 (Print)

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