Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015 - This draft: June 1, 2015
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns …-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news … events, trade-time returns of the near-month E-mini S&P 500 futures contract are well characterized by a Gaussian …
