Shatz Volumes - pre & post "half ticks"

[Directional]

anyone have historical data relating to Eurex shatz product?

I'd be interested in knowing if traded volume is generally up overall, or down since Eurex made that product a half tick.

thanks

 

[BKuerbs]

anyone have historical data relating to Eurex shatz product?

I'd be interested in knowing if traded volume is generally up overall, or down since Eurex made that product a half tick.

thanks

Do you know the date when they made the change? I forgot it.

Bernd Kuerbs

 

[BKuerbs]

They changed it on 9.6.2004.

I just ran a quick ANOVA of the volume in Schatz before and after this date. I took the data from 2.1.2003 till today, so as to have the same number of bars before and after this date.

The test shows a significant difference in volume before and after 9.6.2004. Problem: it shows the same significant difference for the BUND.

So this first test probably just shows a rise in volume in all interest rate futures.

To find out whether there is a rise in volume independent of the trend I would have to dig deeper: I don't have the time for this now. Maybe when I feel bored between Christmas and New Year.

Bernd Kuerbs