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学术讲座:High-frequency price discovery and price efficiency on interest rate futures

金工论坛第四讲

报告题目(TitleHigh-frequency price discovery and price efficiency on interest rate futures

时间:2018年4月24日周二,12:20-13:20

地点:对外经济贸易大学博学楼925

主讲人(Speaker):Jing Nie

Jing Nie is an Assistant Professor at School of Finance, University of International Business and Economics since 2017. She holds a master degree in Finance from the University of Leicester and a PhD in Finance from the Durham University in the UK. Before joined in the UIBE,she worked as a postdoctoral research fellow at the Department of Information Sciences and Engineering, University of Trento, Italy.

Jing’s primary area of research is empirical market microstructure, with a specific application on interest rate derivatives. She works on transaction level data analytics utilizing parallel computing and in-memory databases to analyze the informativeness of quoting and trades on the market. Jing's current research interests include: 1) market qualities and the factors influencing market qualities; 2) high-frequency price efficiency on money market futures; 3) term structure of trading on Eurodollar future markets. 

摘要(Abstract):

This paper examines the impact of price efficiency of high-frequency trading in the Eurodollar futures market. In a high-frequency world, the price can be decomposed into the efficient price (long term) and the pricing error (short term). To capture price efficiency, I calculate the mid-price return autocorrelation following the intervals: tick-by-tick, 1 ms, 2 ms, 5 ms, 10 ms, 15 ms, 20 ms, 25 ms, 50 ms, 75 ms, 100 ms, 150 ms, 200 ms, 500 ms, 750 ms, 1 sec, 5 sec, 15 sec, 30 sec, 60 sec, 300 sec, 600 sec, 900 sec, 1,200 sec, 1,500 sec, and 1,800 sec. Then, I utilize a vector autoregression to estimate the pricing error as the deviation of transaction prices from the efficient prices to illustrate the structure of these costs. I have constructed a unique dataset using the complete messaging history (quotes and transactions) for the Eurodollar futures limit order book from 2008 to 2014. The findings suggest that the mid-quoted return autocorrelations are positive and gradually increase from the shortest time interval to the longest time interval. The adjustment time of trade returns reverts to equilibrium in a very short time interval of one second or less. Considering the maturity effect in the futures market, I find that the trade prices are less sensitive to incorporating any available information into the market as the Eurodollar future approaches its maturity.