## Abstract The serial correlation of highβfrequency intraday returns on the Italian stock index futures (FIB30) in the period 2000β2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bidβask bounce effect. Although
Intraday price-reversal patterns in the currency futures market: The impact of the introduction of GLOBEX and the euro
β Scribed by Joel Rentzler; Kishore Tandon; Susana Yu
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 275 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0270-7314
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