Intraday Volatility of Stock Index Futures Analyzing via High Frequency Data

DOI

10.2991/jisem-15.2015.23How to use a DOI?

Keywords

Stock Index Futures, Intraday Volatility.

Abstract

This paper presents a method for measuring the intraday volatility of the stock index futures, which uses a multi-resolution histogram to describe the price volatility in different time scales. The high frequency data are deployed to show the price volatility during a day. The long term relationship between the trade volume and the price volatility is also given. Experiments show that this method can be used to provide quantitative reference for analysis of transaction behaviors in the market.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Li Yuan
AU  - Yongping Gui
PY  - 2015/12
DA  - 2015/12
TI  - Intraday Volatility of Stock Index Futures Analyzing via High Frequency Data
BT  - Proceedings of the 2015 Joint International Social Science, Education, Language, Management and Business Conference
PB  - Atlantis Press
SP  - 107
EP  - 110
SN  - 2352-5398
UR  - https://doi.org/10.2991/jisem-15.2015.23
DO  - 10.2991/jisem-15.2015.23
ID  - Yuan2015/12
ER  -