On Some Sample Path Properties of Intra-Day Futures Prices

This paper develops a time-series model for continuous time asset prices and then uses tick-by-tick data from Treasury bill futures to develop both a definition and test for efficiency in the continuous time case. The results suggest that intra-day data on futures prices do not behave like a Markov...

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Bibliographic Details
Published in:The review of economics and statistics 1990-08, Vol.72 (3), p.529-536
Main Authors: Neftci, Salih N., Policano, Andrew J.
Format: Article
Language:English
Subjects:
Asked price
Assets
Bid price
Coefficients
Constant coefficients
Economic models
Economic statistics
Efficient markets
Financial futures
Futures market
Futures markets
Markov processes
Price changes
Price efficiency
Prices
Regression analysis
Significance level
Spread
Studies
Temporal data
Treasury bills
Variable coefficients
Variables
Citations: Items that cite this one
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Summary:This paper develops a time-series model for continuous time asset prices and then uses tick-by-tick data from Treasury bill futures to develop both a definition and test for efficiency in the continuous time case. The results suggest that intra-day data on futures prices do not behave like a Markov Renewal process; rather, lagged values of futures prices do have some predictive power. In addition, trading times are not useful in predicting futures prices. Finally, we estimate the bid--ask spread and show that even after adjusting for this spread, the serial dependence between current and lagged returns remains.
ISSN:0034-6535
1530-9142
DOI:10.2307/2109364