This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals … cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures …

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals … trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects …. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples volume to futures …