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Tests against the null of linearity indicate smooth transition autoregressive nonlinearities in the conditional mean of intra-day UK long gilt futures returns at the five and fifteen minute frequencies. The higher frequency model entails a first-order autoregressive process with switching intercept. The lower frequency model is first-order autoregressive for returns near zero, but a near […]
Mcmillan And Speight-Nonlinear Dynamics In High Frequency Intra-Day Financial Data
Tests against the null of linearity indicate smooth transition autoregressive nonlinearities in the conditional mean of intra-day UK long gilt futures returns at the five and fifteen minute frequencies. The higher frequency model entails a first-order autoregressive process with switching intercept. The lower frequency model is first-order autoregressive for returns near zero, but a near random-walk for large returns, consistent with the rapid extraction of profitable opportunities in excess of friction transaction cost boundaries. These nonlinearities are robust to the presence of asymmetric and component structures in conditional variance, but suggest that the potential for predictable regularities are confined to small price movements over fine time intervals.
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