Ssion is estimated for every single futures contract: Deptht = 0 1 Spreadt

Ssion is estimated for every single futures contract: Deptht = 0 1 Spreadt 1 Time1 2 Time
Ssion is estimated for every futures contract: Deptht = 0 1 Spreadt 1 Time1 2 Time2 N -1 Time N -1 N Time N t (eight)A statistically considerable adverse coefficient on Spread would verify an inverse relation among depth and spread soon after controlling for prospective intraday variation. Aitken and Frino (1996) and Ding (1999) recognize three variables that happen to be shown to impact spreads, namely trade activity, value volatility, and value level. Furthermore, Harris (1994) also identifies Fmoc-Gly-Gly-OH Biological Activity Aztreonam Anti-infection volatility and volume as essential variables aiding in the explanation of changes in the depth level. Consequently, we estimate the following model: Deptht = 0 1 Spreadt 1 Time1 two Time2 N -1 Time N -1 N Time N two Volumet (9) three Levelt four Volatilityt t exactly where the volume (Volume) is calculated because the trade volume in each time interval, the price level (Level) is represented by the mean trade price in each and every time interval, plus the volatility (Volatility) is measured by the common deviation in the trade prices in each time interval. Moreover, the interaction of depth and spread is examined at each individual depth level. 3. Final results and Discussion The initial component of your final results describes the summary statistics from the information. The following section from the benefits discusses the intraday behavior of the depth and spread. The subsequent section describes the outcomes for the depth and spread relation. three.1. Summary Statistics Table 2 reports the summary statistics for the Depth, Spread, Volume, Level, and Volatility for every single futures contract. Among the four futures contracts, euro futures in Panel B have the largest imply Depth (640.25), and oil futures in Panel A have the smallest Depth at 101.83. Moreover, oil futures in Panel A possess the biggest Spread (7.40), Volume (17,894.34), and Volatility (0.18) among the 4 contracts. In Panel B, euro futures maintain the tightest mean Spread at six.19. Moreover, yen futures in Panel C show the smallest Volume (4599.84) and Volatility (0.00).Int. J. Financial Stud. 2021, 9,6 ofTable two. Summary statistics. Panel A: Oil Depth Spread Volume Level Volatility Panel B: Euro Depth Spread Volume Level Volatility Panel C: Yen Depth Spread Volume Level Volatility Panel D: Gold Depth Spread Volume Level Volatility Imply 101.83 7.40 17,894.34 87.45 0.18 Mean 640.25 six.19 9123.99 14.19 0.01 Imply 549.92 six.20 4599.84 0.01 0.00 Imply 105.40 6.36 7084.21 88.21 0.10 Median 92.79 7.26 13,882.00 95.04 0.15 Median 601.37 6.11 7163.00 14.18 0.01 Median 419.56 6.ten 3546.00 0.01 0.00 Median 104.48 six.25 5789.00 89.25 0.08 Stan. Dev. 42.33 0.68 13,067.82 33.90 0.13 Stan. Dev. 298.48 0.36 7328.55 0.99 0.01 Stan. Dev. 336.86 0.45 3718.58 0.00 0.00 Stan. Dev. 41.22 0.49 5076.28 6.28 0.09 Skew. 0.80 2.68 two.52 -0.12 3.40 Skew. 0.21 0.96 2.51 0.05 6.81 Skew. 0.67 1.23 2.32 0.04 three.44 Skew. 0.30 1.52 2.58 -0.72 five.44 Kurt. 0.08 20.33 9.08 -1.42 18.50 Kurt. 5th 48.53 6.63 6265.00 39.49 0.06 5th 226.45 five.74 2084.00 12.67 0.00 5th 161.77 five.65 968.00 0.01 0.00 5th 46.50 5.78 1981.00 74.72 0.03 95th 185.91 8.58 45,489.00 136.62 0.40 95th 1135.22 six.91 22,682.00 15.72 0.02 95th 1188.86 7.07 11,722.00 0.01 0.00 95th 175.19 7.29 16,399.00 97.15 0.-1.17 0.77 11.59 -1.12 70.Kurt.-0.84 2.20 10.00 -1.13 21.Kurt.-0.71 four.23 12.15 0.12 44.This table presents the summary statistics for the 15-min time intervals for each and every futures contract. Depth is calculated as the sum on the depth available across all five levels. Spread is calculated because the sum with the depth-weighted spreads across all.