Abstract:
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Since 2009, Tokyo Commodity Exchange (TOCOM) has gradually expanded their opening hours. The trading hours of Nikkei225 futures has been also expanded since 2007 in Osaka Stock Exchange which is now subsidized by Japan Exchange Group. In this paper we analyze how these institutional changes affected the trading activities of gold futures in TOCOM, and of Nikkei225 futures in OSE/JPX. Transactions and quotes are recorded in seconds, and the intervals of events are not necessarily equal. These irregularly observed series of events can be regarded as a point process on the real half line. One of our interest is the intraday periodicity of trade intensity and its change in terms of opening hour’s expansion. We approximate the log of the Poisson intensity by Fourier series. It is straightforward to define the likelihood though the calculation of it involves numerical integration, and the model selection is done by AIC. We exploit the TIMSAC84 library distributed by The Institute of Statistical Mathematics. Changes in diurnal pattern are presented and discussed both in gold futures in TOCOM and Nikkei225 futures in OSE/JPX.
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