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International Conference on Complex Systems (ICCS2006)

Dynamics of intraday serial correlation in the Italian futures market

Simone Bianco
Center for Nonlinear Science - Dept. of Physics University o

Roberto Reno'
Department of Political Economics, Universita' degli Studi di Siena

     Full text: Not available
     Last modified: May 9, 2006

We study the serial correlation of high-frequency intraday returns on
the Italian stock index futures (FIB30) in the period 2000-2002. We find
that intraday autocorrelation is mostly negative for time scales lower
than 20 minutes, mainly due to the bid-ask bounce effect. While this
supports the efficiency of the Italian futures market, we also provide ev-
idence that intraday serial correlation becomes positive in high volatility
regimes. Intraday serial correlation is also found to be autocorrelated
and positively linked to trading volume, while negatively linked to con-
temporaneous and past returns. Moreover we find that it is mainly un-
expected volatility to make serial correlation rise, and not its predictable
part. Our results are supportive of the Chan (1993) model.

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