Research Article
The Price Impact of Order Book Events from a Dimension of Time
Table 7
The
R-squared for factor
and
values for
in model (
9).
| | Item | 9:30–10:00 | 10:00–10:30 | 14:30–15:00 |
| | value | 0.05385032 | 0.082507492 | 0.06868157 | | R-squared | 0.27636538 | 0.241916241 | 0.19599882 |
|
|
