A new methodology for studying intraday dynamics of Nikkei index futures using Markov chains |
| |
| Institution: | 1. The Corporate Executive Board, Singapore;2. Singapore Management University, Singapore;1. Institute of Translational Medicine, Faculty of Health Sciences, University of Macau, Macau, China;2. Department of Biomedical Sciences, Faculty of Health Sciences, University of Macau, Macau, China;3. Centre for Mathematical Medicine & Biology, School of Mathematical Sciences, University of Nottingham, Nottingham, United Kingdom;4. Department of Computer Science, University of Oxford, Oxford, United Kingdom;5. Doctoral Training Centre, University of Oxford, Oxford, United Kingdom;1. Department of Information Systems, W.P. Carey School of Business, Arizona State University, United States;2. Department of Mathematics and Statistics, Hang Seng Management College, Hong Kong, China;3. School of Information Systems, Singapore Management University, Singapore |
| |
| Abstract: | The empirical study of intraday patterns of stock trading volatilities and bid–ask spreads in the literature depends on assumptions of specific price generating process and may therefore not be robust to distributional assumptions. By creating discrete states that conform more naturally to the way prices are actually quoted in the derivatives and assets markets, we employ a new methodology of Markov chains for studying the intraday dynamics of derivative prices. We apply the method to study the intraday behavior of the Nikkei index futures prices, trading volumes, and spreads. We find some interesting results such as higher probabilities of transitions between larger volatilities at the opening and closing times. The volatility at lunch break is strikingly low. Contrary to most of the literature, the Nikkei intraday bid–ask spread does not show a U-shaped pattern. We offer some explanations. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
