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

Table 3

Statistical values of highest liquid 20 stocks out of 50 stocks discussed above from Shenzhen stock exchange in July 2018.

Stock name	Price	Volumes	Bidupdates	Iskupdates	Trades	Spread	Max spread	Bidquote	Askquote
“000001”	8.949474	90633922	8584	8585	691911	0.010166	0.05	208784.8	186256.2
“000002”	23.42526	42181755	24764	24490	846306	0.012046	0.17	30181.26	24192.15
“000063”	14.70474	218000000	26186	26151	3877441	0.010325	0.18	7137346	65453.27
“000066”	7.202699	57395362	14472	14450	538278	0.010516	0.07	91451.34	62865.07
“000100”	2.87187	63856220	1674	1670	324921	0.010034	0.02	1231807	1111930
“000333”	47.28303	42269439	43235	42562	1359732	0.014887	0.37	11623.25	9514.582
“000338”	8.516816	62818118	13079	12515	588959	0.010655	0.07	100782.8	95706.92
“000413”	6.029873	53789801	5089	5042	430600	0.010073	0.06	219929.3	199012.8
“000425”	4.045993	69059015	3225	3203	449036	0.010051	0.05	522062.8	460059.8
“000636”	20.15651	94733981	44409	43234	1583531	0.014642	0.41	534288.8	202639.3
“000651”	44.98734	44439886	40025	39113	1510799	0.013861	0.24	12384.81	12172.45
“000709”	2.858653	45590018	954	932	199636	0.010006	0.02	1332800	1342154
“000717”	6.79423	57997266	10213	9987	359260	0.010401	0.09	394507.6	85874.07
“000725”	3.54558	507000000	2397	2389	1970126	0.010006	0.06	4230589	3886116
“000735”	12.02583	111000000	28138	27924	1846659	0.01089	0.18	159588.4	38211.69
“000790”	7.136104	41304190	15006	14632	518929	0.01077	0.1	50848.03	598766.3
“000830”	17.61107	42223402	24782	24311	696922	0.011286	0.1	23583.17	22383.69
“000839”	4.735201	39000627	4820	4731	289843	0.010107	0.05	200474.7	169123.2
“000868”	5.34697	46274097	13327	12987	491337	0.010563	0.12	482389.5	52117.99
“000932”	8.902737	86635903	16526	16407	532922	0.010707	0.08	80327.97	72852.96