Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data
针对期货交易数据中缺乏及时买卖报价的问题，提出基于马尔可夫链蒙特卡洛估计的新技术，分析芝加哥商品交易所四种合约的流动性，发现标普500指数流动性最高，猪腩合约最低。
Abstract Motivated by economic models of sequential trade, empirical analyses of market dynamics frequently estimate liquidity as the coefficient of signed order flow in a price change regression. This paper implements such an analysis for futures transaction data from pit trading. To deal with the absence of timely bid and ask quotes (which are used to sign trades in most equity market studies), this paper proposes new techniques based on Markov chain Monte Carlo estimation. The model is estimated for four representative Chicago Mercantile Exchange contracts. The highest liquidity (lowest order flow coefficient) is found for the S&P 500 index. Liquidity for the Euro and U.K. £ contracts is somewhat lower. The pork belly contract exhibits the least liquidity.