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

Dorfleitner, Gregor



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 ...

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