{"paper":{"title":"Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market","license":"http://creativecommons.org/publicdomain/zero/1.0/","headline":"","cross_cats":["q-fin.TR"],"primary_cat":"q-fin.ST","authors_text":"Hamza Bodor, Laurent Carlier","submitted_at":"2024-01-19T14:35:21Z","abstract_excerpt":"This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund and Buxl, using tick-by-tick limit order book datasets. It uncovers a range of stylized facts and empirical observations, including the distribution of order sizes, patterns of order flow, and inter-arrival times of orders. The findings reveal both commonalities and unique characteristics across the different futures, thereby enriching our understanding of these markets. Furthermore, the paper introduces insightful r"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2401.10722","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2401.10722/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}