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

Table 1

In eight different time periods of a trading day, bid(b)/ask(s) side imbalance ratio of orders’ arrival (column 2/4) and cancelling ratio of orders (column 3/5).

Time period	(λ(b) − μ(b) − θ(b))/λ(b)	θ(b)/λ(b)	(λ(s) − μ(s) − θ(s))/λ(s)	θ(s)/λ(s)
9:30–10:00	0.370073879	0.03662	0.48266014	0.03417
10:00–10:30	0.383481915	0.06472	0.43961763	0.04746
10:30–11:00	0.359117126	0.08013	0.43537183	0.05688
11:00–11:30	0.291588197	0.08751	0.44505638	0.05835
13:00–13:30	0.358005535	0.08612	0.43203355	0.05679
13:30–14:00	0.278926993	0.11276	0.48520687	0.06282
14:00–14:30	0.326217539	0.11834	0.43248183	0.06079
14:30–14:57	0.317330298	0.15007	0.41677333	0.05012