Research Article
The Price Impact of Order Book Events from a Dimension of Time
Table 5
The
R-squared of estimation in model (
8).
| Time | R-squared |
| 9:30–10:00 | 0.205776 | 10:00–10:30 | 0.190855 | 10:30–11:00 | 0.167759 | 11:00–11:30 | 0.157325 | 13:00–13:30 | 0.156407 | 13:30–14:00 | 0.158184 | 14:00–14:30 | 0.158095 | 14:00–14:57 | 0.144615 |
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