Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices
journal contributionposted on 08.06.2017 by Anderson, Heather M., Vahid, Farshid
Any type of content formally published in an academic journal, usually following a peer-review process.
This paper studies the All Ordinaries Index in Australia, and its futures contract known as the Share Price Index. We use a new form of smooth transition model to account for a variety of nonlinearities caused by transaction costs and other market/data imperfections, and given the recent interest in the effects of market automation on price discovery, we focus on how the nonlinear properties of the basis and returns have changed, now that floor trading in the futures contract has been replaced by electronic trading.