Ssion is estimated for each futures contract: Deptht = 0 1 Spreadt 1

Ssion is estimated for each futures contract: Deptht = 0 1 Spreadt 1 Time1 two Time
Ssion is estimated for each and every futures contract: Deptht = 0 1 Spreadt 1 Time1 two Time2 N -1 Time N -1 N Time N t (8)A statistically considerable damaging coefficient on Spread would confirm an inverse relation involving depth and spread after controlling for prospective intraday variation. Aitken and Frino (1996) and Ding (1999) determine 3 variables which are shown to influence spreads, namely trade activity, price tag volatility, and cost level. Additionally, Harris (1994) also identifies volatility and volume as Olesoxime Inhibitor essential variables aiding in the explanation of modifications inside the depth level. Therefore, we estimate the following model: Deptht = 0 1 Spreadt 1 Time1 two Time2 N -1 Time N -1 N Time N two Volumet (9) 3 Levelt four Volatilityt t where the volume (Volume) is calculated as the trade volume in each and every time Ziritaxestat References interval, the price level (Level) is represented by the imply trade price tag in every time interval, plus the volatility (Volatility) is measured by the standard deviation of your trade prices in each time interval. In addition, the interaction of depth and spread is examined at each person depth level. 3. Outcomes and Discussion The very first aspect of the final results describes the summary statistics from the information. The subsequent section of your outcomes discusses the intraday behavior in the depth and spread. The subsequent section describes the results for the depth and spread relation. 3.1. Summary Statistics Table two reports the summary statistics for the Depth, Spread, Volume, Level, and Volatility for each and every futures contract. Amongst the four futures contracts, euro futures in Panel B have the largest mean Depth (640.25), and oil futures in Panel A have the smallest Depth at 101.83. Also, oil futures in Panel A possess the biggest Spread (7.40), Volume (17,894.34), and Volatility (0.18) among the 4 contracts. In Panel B, euro futures retain the tightest imply Spread at 6.19. Moreover, yen futures in Panel C display the smallest Volume (4599.84) and Volatility (0.00).Int. J. Financial Stud. 2021, 9,six ofTable two. Summary statistics. Panel A: Oil Depth Spread Volume Level Volatility Panel B: Euro Depth Spread Volume Level Volatility Panel C: Yen Depth Spread Volume Level Volatility Panel D: Gold Depth Spread Volume Level Volatility Imply 101.83 7.40 17,894.34 87.45 0.18 Imply 640.25 6.19 9123.99 14.19 0.01 Mean 549.92 six.20 4599.84 0.01 0.00 Mean 105.40 6.36 7084.21 88.21 0.ten Median 92.79 7.26 13,882.00 95.04 0.15 Median 601.37 6.11 7163.00 14.18 0.01 Median 419.56 6.10 3546.00 0.01 0.00 Median 104.48 six.25 5789.00 89.25 0.08 Stan. Dev. 42.33 0.68 13,067.82 33.90 0.13 Stan. Dev. 298.48 0.36 7328.55 0.99 0.01 Stan. Dev. 336.86 0.45 3718.58 0.00 0.00 Stan. Dev. 41.22 0.49 5076.28 six.28 0.09 Skew. 0.80 2.68 two.52 -0.12 three.40 Skew. 0.21 0.96 2.51 0.05 six.81 Skew. 0.67 1.23 2.32 0.04 three.44 Skew. 0.30 1.52 2.58 -0.72 five.44 Kurt. 0.08 20.33 9.08 -1.42 18.50 Kurt. 5th 48.53 6.63 6265.00 39.49 0.06 5th 226.45 5.74 2084.00 12.67 0.00 5th 161.77 5.65 968.00 0.01 0.00 5th 46.50 five.78 1981.00 74.72 0.03 95th 185.91 8.58 45,489.00 136.62 0.40 95th 1135.22 six.91 22,682.00 15.72 0.02 95th 1188.86 7.07 11,722.00 0.01 0.00 95th 175.19 7.29 16,399.00 97.15 0.-1.17 0.77 11.59 -1.12 70.Kurt.-0.84 2.20 ten.00 -1.13 21.Kurt.-0.71 four.23 12.15 0.12 44.This table presents the summary statistics for the 15-min time intervals for each and every futures contract. Depth is calculated because the sum from the depth obtainable across all 5 levels. Spread is calculated because the sum with the depth-weighted spreads across all.