Problem

1. Compute a time series of daily quote cancellations rates, and the portion of market orders, on the E-mini S&P 500 futures dataset.

(a) What is the correlation between these two series? Is it statistically significant?

(b) What is the correlation between the two series and daily volatility? Is this what you expected?

2. On the E-mini S&P 500 futures tick data:

(a) Compute the distribution of volume executed within the first 5 seconds of every minute.

(b) Compute the distribution of volume executed every minute.

(c) Compute the Kolmogorov-Smirnov test on both distributions. Are they significantly different, at a 95% confidence level?

3. On the E-mini S&P 500 futures tick data:

(a) Compute the first-order serial correlation of signed volumes.

(b) Is it statistically significant, at a 95% confidence level?