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The Nature of Price Returns During Periods of High Market Activity

  • Khalil Al Dayri
  • Emmanuel Bacry
  • Jean-François Muzy
Part of the New Economic Windows book series (NEW)

Abstract

By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the intertrade time lags. We And that when the trading rate becomes faster, the return variance per trade or the impact, as measured by the price variation in the direction of the trade, strongly increases. We provide evidence that these properties persist at coarser time scales. We also show that the spread value is an increasing function of the activity. This suggests that order books are more likely empty when the trading rate is high.

Keywords

Price Return Order Book Market Order Tick Size Trading Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Khalil Al Dayri
    • 1
  • Emmanuel Bacry
    • 1
  • Jean-François Muzy
    • 2
  1. 1.CMAPÉcole PolytechniqueFrance
  2. 2.CNRS-UMR 6134Université de CorseCorteFrance

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