Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market (2401.10722v1)
Abstract: This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund and Buxl, using tick-by-tick limit order book datasets. It uncovers a range of stylized facts and empirical observations, including the distribution of order sizes, patterns of order flow, and inter-arrival times of orders. The findings reveal both commonalities and unique characteristics across the different futures, thereby enriching our understanding of these markets. Furthermore, the paper introduces insightful realism metrics that can be used to benchmark market simulators. The study contributes to the literature on financial stylized facts by extending empirical observations to this class of assets, which has been relatively underexplored in existing research. This work provides valuable guidance for the development of more accurate and realistic market simulators.
- From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets, Finance and stochastics 1 (1997) 95–129.
- R. Cont, Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance 1 (2001) 223–236.
- Statistical properties of stock order books: empirical results and models, Quantitative Finance 2 (2002) 251.
- A. Chakraborti, et al., Econophysics review: I. empirical facts, Quantitative Finance 11 (2011) 991–1012.
- Get real: Realism metrics for robust limit order book market simulations (2020) 1–8.
- T. Lux, M. Marchesi, Scaling and criticality in a stochastic multi-agent model of a financial market, Nature 397 (1998) 498–500.
- Predicting economic market crises using measures of collective panic, arXiv preprint arXiv:1102.2620 (2011).
- B. LeBaron, Agent-based computational finance, Handbook of computational economics 2 (2006) 1187–1233.
- A re-examination of the “zero is enough" hypothesis in the emergence of financial stylized facts, Journal of Economic Interaction and Coordination 7 (2012) 223–248.
- R. F. Engle, J. R. Russell, Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model, Journal of Empirical Finance 4 (1997) 187–212.
- The intraday multivariate structure of the eurofutures markets, Journal of Empirical Finance 6 (1999) 479–513.
- Stylized facts of the fx market transactions data: An empirical study, Journal of Finance and Investment Analysis 2 (2013) 145–183.
- Understanding treasury futures (2013).
- I. M. Toke, Reconstruction of order flows using aggregated data, Market Microstructure and Liquidity 2 (2016) 1650007.
- A re-examination of the “zero is enough” hypothesis in the emergence of financial stylized facts, Journal of Economic Interaction and Coordination 7 (2012) 223–248.
- P. Handa, R. A. Schwartz, Limit order trading, Capital Markets: Market Microstructure eJournal (1995). doi:10.1111/J.1540-6261.1996.TB05228.X.
- R. K. Chou, Y. Wang, Strategic order splitting, order choice, and aggressiveness: Evidence from the taiwan futures exchange, Journal of Futures Markets 29 (2009) 1102–1129. doi:10.1002/FUT.20416.
- T. Jaisson, M. Rosenbaum, Limit theorems for nearly unstable hawkes processes (2015).
- An empirical analysis of the limit order book and the order flow in the paris bourse, Journal of Finance 50 (1995) 1655–89.