Download: High-frequency event analysis in Eurex interest rate futures
Eurex kindly provided this whitepaper on ‘High-frequency event analysis in Eurex interest rate futures.’
In the paper, Eurex investigates the effect of scheduled information releases and auctions on high-frequency trading of interest rate futures on the Eurex exchange, and compares this with similar products on CME.
The study differs from earlier ones in two respects:
1) they use detailed tick data rather than five-minute bars, so are able to look for sharp price changes on times scales of one or two seconds
2) they use a large universe of potential events, in particular including all US and European Treasury auctions as well as economic information releases
Eurex suggests that “both US and European rates markets respond almost exclusively to US events: European events and auctions have almost no discernible effect.”
To learn more about this, check out the paper now!
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