This paper uses a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We also document a number of regularities in the pattern of daily returns...

This paper tests for the presence of nonlinear dependence and chaos in real-time returns on four of the world's major stock market indices: the FTSE-100, the Samp;P 500, the Nikkei 225 and the DAX. Our results suggest that GARCH-type models can explain some but not all of the observed nonlinear...