Futures trading costs and market microstructure invariance: Identifying bet activity

被引：0
|
作者：
Hou, Ai Jun [1 ]
Norden, Lars L. [1 ]
Xu, Caihong [1 ]
机构：
[1] Stockholm Univ, Stockholm Business Sch, SE-10691 Stockholm, Sweden
来源：
JOURNAL OF FUTURES MARKETS | 2024年 / 44卷 / 06期
关键词：
bet volatility; bet volume; market microstructure invariance; transactions costs; BID-ASK SPREADS; TICK SIZE-REDUCTION; TRANSACTIONS; LIQUIDITY; PATTERNS; VOLUME; IMPACT;
D O I：
10.1002/fut.22496
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, but these variables are inherently difficult to identify. With futures transactions data, we estimate bet volume as the trading volume of brokerage firms that trade on behalf of their clients and bet volatility as the trade-related component of futures volatility. We find that the futures bid-ask spread lines up with bet volume and bet volatility as predicted by MMI, and that intermediation by high-frequency traders does not interfere with the MMI relation.
引用
收藏
页码：901 / 922
页数：22
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