2024/01/19 by Hamza Bodor, Bodor, Hamza, Laurent Carlier +1
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2401.10722
openalex publication_date 2024/01/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.