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

<table class="table-group" id="tab6"><tr><td><table class="table"><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr class="thead"><td class="align_left">No.</td><td class="align_center"><svg height="10.2124pt" id="M55" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -6.78297 7.83752 10.2124" width="7.83752pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M570 304C570 398 525 448 414 448C385 448 343 445 312 434L329 511L321 518C297 504 262 482 244 460L233 411C195 397 159 381 128 358L135 332C160 347 189 360 224 373L111 -147C97 -210 84 -218 17 -231L13 -257L254 -247L259 -218L233 -216C183 -212 177 -202 189 -142L218 -1C238 -10 266 -12 283 -12C351 3 429 48 483 105C543 168 570 242 570 304ZM482 289C482 161 380 33 304 33C278 33 248 51 233 69L303 396C326 400 352 403 369 403C428 403 482 380 482 289Z"></path></g></svg> values for coefficient of OFI</td></tr><tr><td class="thead-hr" colspan="2"><hr/></td></tr><tr><td class="align_left">1</td><td class="align_center">0.0041350</td></tr><tr><td class="align_left">2</td><td class="align_center">0.0092107</td></tr><tr><td class="align_left">3</td><td class="align_center">0.0160284</td></tr><tr><td class="align_left">4</td><td class="align_center">0.0157925</td></tr><tr><td class="align_left">5</td><td class="align_center">0.0170173</td></tr><tr><td class="align_left">6</td><td class="align_center">0.0181213</td></tr><tr><td class="align_left">7</td><td class="align_center">0.0168114</td></tr><tr><td class="align_left">8</td><td class="align_center">0.0175921</td></tr><tr class="table-tr"><td colspan="2"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div><svg height="10.2124pt" id="M53" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -6.78297 7.83752 10.2124" width="7.83752pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M570 304C570 398 525 448 414 448C385 448 343 445 312 434L329 511L321 518C297 504 262 482 244 460L233 411C195 397 159 381 128 358L135 332C160 347 189 360 224 373L111 -147C97 -210 84 -218 17 -231L13 -257L254 -247L259 -218L233 -216C183 -212 177 -202 189 -142L218 -1C238 -10 266 -12 283 -12C351 3 429 48 483 105C543 168 570 242 570 304ZM482 289C482 161 380 33 304 33C278 33 248 51 233 69L303 396C326 400 352 403 369 403C428 403 482 380 482 289Z"></path></g></svg> values for coefficients of <svg height="12.0444pt" id="M54" style="vertical-align:-3.29106pt" version="1.1" viewbox="-0.0498162 -8.75334 24.1377 12.0444" width="24.1377pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M381 665C170 665 44 498 44 318C44 125 188 -15 369 -15C552 -15 703 117 703 333C703 534 550 665 381 665ZM359 629C491 629 601 517 601 306C601 114 502 21 390 21C249 21 146 158 146 346S248 629 359 629Z"></path></g><g transform="matrix(.013,0,0,-0.013,9.594,0)"><path d="M493 503C489 551 484 614 483 650H43V622C120 616 128 611 128 525V126C128 40 120 34 40 28V0H312V28C221 34 213 40 213 126V307H316C407 307 412 296 424 227H453V420H424C412 355 407 346 316 346H213V584C213 613 216 616 246 616H322C398 616 419 607 436 579C449 559 455 539 464 499L493 503Z"></path></g><g transform="matrix(.013,0,0,-0.013,16.471,0)"><path d="M303 0V28C221 34 213 39 213 125V525C213 610 221 616 303 622V650H38V622C120 616 128 610 128 525V125C128 40 120 34 38 28V0H303Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,20.982,3.132)"><path d="M250 606C250 634 233 656 203 656C168 656 146 618 146 593C146 564 169 545 192 545C227 545 250 573 250 606ZM227 95L212 119C187 98 152 71 135 71C129 71 128 78 134 102L207 373C219 418 217 451 194 451C165 451 92 411 30 351L44 326C77 353 106 371 114 371C124 371 121 357 117 341L55 97C32 5 46 -12 70 -12C108 -12 191 51 227 95Z"></path></g></svg> from model (<a href="https://static.hindawi.com/articles/sp/volume-2021/9949565/figures/#EEq8" target="_blank">8</a>) for 8 different trading periods.</div>

Scientific Programming

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

Table 6