This paper investigates the determinants of transaction price changes during BUND-future trading at Deutsche Terminborse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the ordered probit model, which is an econometric tool that is comparatively new to the econometrics of financial markets. It is especially valuable with respect to high frequency data which are used for the empirical analysis of this paper. Although the ordered probit model is nonstructural, it allows to test the validity of market microstructure literature. A comparison of BUND-futures trading at DTB and LIFFE is also conducted.
Kaiser, Ulrich (1997), The determinates of BUND-future price changes: An ordered probit anlysis using DTB and LIFE-data, ZEW Discussion Paper No. 97-09, Mannheim. Download