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

Table 4

Statistical values of highest liquid 20 stocks out of 50 discussed above stocks from Shenzhen stock exchange in March 2019.

Stock name	Price	Volumes	Bidupdates	Iskupdates	Trades	Spread	Max spread	Bidquote	Askquote
“000001”	12.54927	126000000	17488	17463	1059145	0.01066	0.08	112559.7	108647.9
“000002”	28.63796	74954324	35847	35491	1359969	0.013032	0.15	23236.36	25846.48
“000063”	29.24184	140000000	41597	41023	2894819	0.012885	0.17	1160519	26272.13
“000066”	8.717627	168000000	26081	25436	1249161	0.012592	0.37	3569660	53256.85
“000100”	3.844991	493000000	5356	5305	2378005	0.010047	0.05	8653295	1451183
“000333”	47.81191	35576311	34704	34508	1003728	0.014848	0.25	14357.82	14197.87
“000338”	10.93427	96004436	22551	22309	990645	0.011147	0.1	63859.75	60373.95
“000413”	6.164903	190000000	10079	10029	1246611	0.010096	0.05	283759.9	248469.5
“000425”	4.266872	135000000	5503	5495	744533	0.010089	0.04	457575.5	467730.4
“000636”	15.38505	86504891	30368	29851	1315250	0.011175	0.15	36598.62	31015.7
“000651”	46.03232	55785464	32959	32395	1647012	0.012225	0.21	19192.34	21113.85
“000709”	3.460779	81331901	2176	2085	432321	0.010028	0.02	930606.8	922097.6
“000717”	5.863062	59962873	6285	6181	345876	0.01015	0.09	191616.1	163426.1
“000725”	4.017527	1390000000	4420	4405	6170115	0.010009	0.03	4509817	4258081
“000735”	12.91924	101000000	24138	23801	1428595	0.010654	0.11	47920.45	45534.02
“000790”	5.386573	26622979	10210	9866	189760	0.010711	0.13	51580.23	51269.71
“000830”	13.09964	78158583	20499	20213	937589	0.010673	0.1	50154.7	47131.92
“000839”	5.914253	239000000	18407	18086	1492968	0.010551	0.17	2961527	525416.3
“000868”	3.992471	36396440	6204	6076	270629	0.010229	0.25	129570.5	116579.2
“000932”	7.69376	69250545	8615	8395	444436	0.010203	0.05	152788.6	132695.1