Research Article
Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares
Table 2
Baoli Real Estate tick-by-tick ultrahigh frequency sample data.
| Time | Price | Buy/sell | Volume |
| 9:30:00 | 12.29 | B | 1000 | 9:30:00 | 12.29 | B | 1000 | 9:30:00 | 12.29 | B | 154 | 9:30:00 | 12.29 | S | 800 | 9:30:00 | 12.29 | S | 46 | 9:30:00 | 12.29 | S | 154 | 9:30:00 | 12.30 | B | 100 | 9:30:02 | 12.29 | S | 46 | 9:30:02 | 12.29 | S | 1000 | 9:30:02 | 12.29 | S | 354 | 9:30:02 | 12.29 | S | 2000 | 9:30:02 | 12.29 | S | 1000 | 9:30:02 | 12.29 | S | 4846 | 9:30:02 | 12.29 | S | 1000 |
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