How short-termed is the trading behaviour in Eurex futures markets?

URN to cite this document:: urn:nbn:de:bvb:355-epub-38096
DOI to cite this document:: 10.5283/epub.3809

Dorfleitner, Gregor

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Date of publication of this fulltext: 05 Aug 2009 13:45

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Abstract

This paper investigates empirically smoothing-out ratios and average holding periods of different Eurex futures such as the Euro-Bund, the DAX, the DJ Euro STOXX 50 future and others from 1999 to 2002. A methodology that only needs daily volume and open interest data is presented (including an innovative open interest correction algorithm). It can be shown that average holding periods decrease ...