The Price Impact of Order Book Events from a Dimension of Time

<div>The average coefficients of <svg height="12.0444pt" id="M50" style="vertical-align:-3.29106pt" version="1.1" viewbox="-0.0498162 -8.75334 24.1377 12.0444" width="24.1377pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M381 665C170 665 44 498 44 318C44 125 188 -15 369 -15C552 -15 703 117 703 333C703 534 550 665 381 665ZM359 629C491 629 601 517 601 306C601 114 502 21 390 21C249 21 146 158 146 346S248 629 359 629Z"></path></g><g transform="matrix(.013,0,0,-0.013,9.594,0)"><path d="M493 503C489 551 484 614 483 650H43V622C120 616 128 611 128 525V126C128 40 120 34 40 28V0H312V28C221 34 213 40 213 126V307H316C407 307 412 296 424 227H453V420H424C412 355 407 346 316 346H213V584C213 613 216 616 246 616H322C398 616 419 607 436 579C449 559 455 539 464 499L493 503Z"></path></g><g transform="matrix(.013,0,0,-0.013,16.471,0)"><path d="M303 0V28C221 34 213 39 213 125V525C213 610 221 616 303 622V650H38V622C120 616 128 610 128 525V125C128 40 120 34 38 28V0H303Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,20.982,3.132)"><path d="M250 606C250 634 233 656 203 656C168 656 146 618 146 593C146 564 169 545 192 545C227 545 250 573 250 606ZM227 95L212 119C187 98 152 71 135 71C129 71 128 78 134 102L207 373C219 418 217 451 194 451C165 451 92 411 30 351L44 326C77 353 106 371 114 371C124 371 121 357 117 341L55 97C32 5 46 -12 70 -12C108 -12 191 51 227 95Z"></path></g></svg> for 50 stocks at 8 different time periods.</div>

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The Price Impact of Order Book Events from a Dimension of Time

Figure 4