Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market
This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund and Buxl, using tick-by-tick limit order book datasets. It uncovers a range of stylized facts and empirical observations, including the distribution of order sizes, patterns of order flow, and inter-arrival times of orders. The findings reveal both commonalities and unique characteristics across the different futures, thereby enriching our understanding of these markets. Furthermore, the paper introduces insightful realism metrics that can be used to benchmark market simulators. The study contributes to the literature on financial stylized facts by extending empirical observations to this class of assets, which has been relatively underexplored in existing research. This work provides valuable guidance for the development of more accurate and realistic market simulators.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
TradeFM: A Generative Foundation Model for Trade-flow and Market Microstructure
Foundation models have transformed domains from language to genomics by learning general-purpose representations from large-scale, heterogeneous data. We introduce TradeFM, a 524M-parameter generative Transformer that br…
Synthetic Data GenerationThe microstructural foundations of leverage effect and rough volatility
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes pro…
Can Agent-Based Models Probe Market Microstructure?
We extend prior evidence that naively using intraday agent-based models that involve realistic order-matching processes for modeling continuous-time double auction markets seems to fail to be able to provide a robust lin…
Time SeriesTime Series AnalysisStylized Facts and Agent-Based Modeling
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used…
Revisiting Cont's Stylized Facts for Modern Stock Markets
In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial price changes (returns), resulting in 11 statistical properties common to a large set of assets and mar…
Time Series