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

By Torben G. Andersen, O. Bondarenko, Albert S. Kyle, Anna A. Obizhaeva. 2015

29 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Mikkel Bennedsen
2. Asger Lunde
3. Mikko S. Pakkanen
4. P. R. Hansen
5. Andrew J. Patton
6. N. Shephard
7. Eduardo Abi Jaber
8. Marcelo C. Medeiros

In Finance

1. Mikkel Bennedsen
2. Asger Lunde
3. Mikko S. Pakkanen
4. P. R. Hansen
5. Andrew J. Patton
6. N. Shephard
7. Eduardo Abi Jaber
8. Kevin Sheppard

Citations in the corpus

• Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (2016, methodology): “To estimate σs we use the flexible Fourier form (FFF) approach of Andersen and Bollerslev (1997, 1998); Figure 1 shows the output of this estimation procedure in the case ∆ = 15 minutes (see also the similar findings in Andersen et al., 2016, Figure 1).”