Precious metals under the microscope: a high-frequency analysis

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium and platinum. We analyse the behaviours of spot prices, returns, volume and selected liquidity measures. We find clear evi...

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Bibliographic Details
Published inQuantitative finance Vol. 15; no. 5; pp. 743 - 759
Main Authors Caporin, Massimiliano, Ranaldo, Angelo, Velo, Gabriel G.
Format Journal Article
LanguageEnglish
Published Bristol Routledge 04.05.2015
Taylor & Francis Ltd
Subjects
Commodity markets
Commodity prices
Commonality in liquidity
High frequency trading
High-frequency data
Intradaily periodicity
Liquidity
Metals
Precious metals
Studies
Time series
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Summary:Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium and platinum. We analyse the behaviours of spot prices, returns, volume and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. The time series of spot returns have, thus, properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviours in the conditional variances and volatility clustering. Gold (platinum) is the most (least) liquid and least (most) volatile asset. Commonality in liquidities of precious metals is very strong.
ISSN:1469-7688
1469-7696
DOI:10.1080/14697688.2014.947313