2006/10/03 by Simone Bianco, Bianco, Simone, Roberto Renó +2
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Autocorrelation #Complex Systems and Time Series Analysis #Computer science #Correlation #Database transaction #Econometrics #Economics #FOS: Economics and business #FOS: Physical sciences #Financial Markets and Investment Strategies #Financial economics #Forward volatility #Futures contract #Implied volatility #Market Dynamics and Volatility #Mathematics #Physics and Society (physics.soc-ph) #Realized variance #Statistical Finance (q-fin.ST) #Statistics #Volatility (finance) #Volatility risk premium #Volatility smile #Volatility swap #physics.soc-ph #q-fin.ST
paper · pdf · doi:10.48550/arxiv.physics/0610023
16 pages, 1 figure, 4 tables. Submitted version
arxiv created 2006/10/03 · openalex publication_date 2006/10/03 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility only, that is by the fraction of volatility which cannot be forecasted. The impact of predictable volatility is instead found to be negative (LeBaron effect). Our results are robust to microstructure noise, and they confirm the leading economic theories on price formation.