Intraday Statistical Properties of Eurofutures

Abstract

This paper studies the statistical properties of the price, volatility and tick dynamics of the intraday Eurofutures markets by utilizing the transactions and quote data. We build two different types of price series, by position and by contract. The findings indicate numerous sources of intraday and intraweek seasonality. First, volatility tends to decrease towards the maturity date. Second, intraday price changes and tick activity display U-shaped seasonalities with peaks occuring at opening and closing hours. Third, there is evidence of intraweek seasonalities where the level of activity displays a minimum on Monday and a maximum on the last two working days of the weeks. The findings of this paper suggest that a model of volatility for futures markets should correct for the seasonality originating from the maturity effect. In addition, U-shaped intraday seasonalities and intraweek seasonalities should be properly taken into account in the conditional mean and conditional volatility models of futures markets. In addition, the return series exhibit serial correlation which provides evidence for predictability and timing ability. This predictability does not translate itself into net profitability in the short horizons such as three minutes data. However, the net profitability opportunities exist at the lower frequencies such as the thirty minutes horizon after taking trading costs into account.