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AN EXAMINATION OF THE NASDAQ 100 FUTURES CONTRACT USING ULTRA HIGH FREQUENCY DATA
Abid, Fathi; Faculty of Business and Economics of Sfax, University of Sfax, Tunisia. MO.DE.S.FI - Trabelsi, Lotfi; Faculty of Business and Economics of Sfax, University of Sfax, Tunisia. MO.DE.S.FI
| Formato: |
info:eu-repo/semantics/article, info:eu-repo/semantics/publishedVersion, |
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This paper conducts a study on a high frequency data of futures index contracts after the examination of the Nasdaq 100 to investigate the effects of price duration in trading process. To achieve this prospect, we extend the Engle and…
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| Fecha: |
2013-06-15 |
| Recurso: |
Journal of Business and Finance |
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