中文摘要：

使用从中国商品期货由极小的数据系列纪录的这份报纸出售学习 intraday 效果的模式并且发现绝对回来和体积的 L 模式。它与证券市场不同，它有一个特殊模式 U 字形。金融市场微观结构理论，商人心理学和做贸易的机制被使用解释它。然后，这份报纸学习影响回来和落后订单的轻快的因素。结果证明在任何二绝对回来，体积和开的兴趣之中有双边的 Granger 诱发性，并且它与证券市场的实验结果不同，在仅仅从体积有到绝对回来的一种单方的 Granger 原因的关系的意义。作者也在这三个因素之中分析动态关系。实验结果看出绝对回来和体积的轻快上的开的兴趣的影响是弱的，并且在绝对回来和体积之间有强壮的关联。一些投资建议从上面提及的分析被提供。

英文摘要：

This paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and volume. It is different from stock market, which has a distinctive pattern of U-shaped. The financial market microstructure theory, traders＇ psychology and trading mechanism are applied to explain it. Then this paper studies the factors that influence volatility of return and the lagged orders. The results show that there is a bilateral Granger causality among any two of the absolute return~ volume and open interest, and it is different from the empirical results of the stock market, in the sense that there is only a unilateral Granger causal relationship from volume to absolute return. The authors also analyze the dynamic relationship among these three factors. The empirical results tell that the influence of open interest on volatility of absolute return and volume is weak, and there is a strong correlation between absolute return and volume. Some investment suggestions are offered from the analysis mentioned above.