Research Article
The Price Impact of Order Book Events from a Dimension of Time
Table 2
values,
R-squared, and coefficients of
estimated by model (
9) for averaging 50 stocks in March 2019.
| | Item | 9:30–10:00 | 10:00–10:30 | 14:30–15:00 |
| | value | 0.02157613 | 0.053005478 | 0.037117952 | | R-squared | 0.26616222 | 0.254128669 | 0.234105648 | | OEI’s coefficient | 0.16536644 | 0.095379223 | 0.049151509 |
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