Chapter 6 Appendices
6.1 Appendices from Chapter1
6.1.1 Predicting the Size of Trade Initiation Runs
Chapter 6 Appendices
AWC
Obs 14373
R-squared 0.0294
Adj R-squared 1.2314
Dep. Var: Size of Run Coef. Std. Error t P>|t| [95% Conf. Interval]
Last trade at Bid Price -0.043 0.047 -0.92 0.36 -0.135 0.049
Lag(Quantity traded at Bid) 0.018 0.012 1.46 0.14 -0.006 0.042 Lag2(Quantity traded at Bid) 0.093 0.012 7.66 0.00 0.069 0.117 Lag3(Quantity traded at Bid) 0.030 0.012 2.47 0.01 0.006 0.054 Lag3(Quantity traded at Bid) 0.043 0.012 3.56 0.00 0.020 0.067 Lag4(Quantity traded at Bid) 0.003 0.012 0.21 0.83 -0.021 0.026 Lag5(Quantity traded at Bid) 0.051 0.012 4.21 0.00 0.027 0.075 lqatask
Quantity traded at Ask 0.038 0.012 3.15 0.00 0.014 0.061
Lag(Quantity traded at Ask) 0.082 0.012 6.79 0.00 0.058 0.105 Lag2(Quantity traded at Ask) 0.031 0.012 2.55 0.01 0.007 0.054 Lag3(Quantity traded at Ask) 0.079 0.012 6.56 0.00 0.055 0.102 Lag4(Quantity traded at Ask) -0.008 0.012 -0.66 0.51 -0.032 0.016 Lag5(Quantity traded at Ask) 0.076 0.012 6.37 0.00 0.053 0.100 Lag6(Quantity traded at Ask) 0.047 0.012 3.95 0.00 0.024 0.070
Time (in sec from Open) -0.059 0.031 -1.89 0.06 -0.120 0.002
Time^2 (in sec from Open) 0.139 0.058 2.39 0.02 0.025 0.253
Time^3 (in sec from Open) 0.063 0.021 3.09 0.00 0.023 0.104
Time^4 (in sec from Open) -0.071 0.027 -2.61 0.01 -0.125 -0.018
Ttues Dummy 0.080 0.034 2.39 0.02 0.014 0.146
Wed Dummy -0.019 0.032 -0.60 0.55 -0.082 0.043
Thurs Dummy 0.059 0.033 1.78 0.08 -0.006 0.124
Fri Dummy 0.040 0.033 1.20 0.23 -0.025 0.105
First Trading Day of Month -0.021 0.053 -0.39 0.69 -0.126 0.084
Last Trading Day of Month 0.266 0.062 4.29 0.00 0.145 0.388
Lag(Change in Bid Price) 3.013 2.579 1.17 0.24 -2.043 8.068
Lag2(Change in Bid Price) 4.549 3.100 1.47 0.14 -1.527 10.624
Lag3(Change in Bid Price) 3.327 3.216 1.04 0.30 -2.976 9.630
Lag4(Change in Bid Price) 1.994 3.211 0.62 0.54 -4.300 8.289
Lag5(Change in Bid Price) 1.999 3.098 0.65 0.52 -4.074 8.072
Lag6(Change in Bid Price) -0.972 2.581 -0.38 0.71 -6.032 4.088 dbestask
Lag(Change in Ask Price) -3.016 2.701 -1.12 0.26 -8.311 2.279 Lag2(Change in Ask Price) -3.682 3.199 -1.15 0.25 -9.952 2.588 Lag3(Change in Ask Price) -3.612 3.312 -1.09 0.28 -10.103 2.880 Lag4(Change in Ask Price) -2.034 3.307 -0.62 0.54 -8.516 4.447 Lag5(Change in Ask Price) -1.322 3.178 -0.42 0.68 -7.551 4.907
Lag6(Change in Ask Price) 2.799 2.669 1.05 0.29 -2.433 8.032
Constant -0.057 0.040 -1.41 0.16 -0.135 0.022
BBG
Obs 5496
R-squared 0.0538
Adj R-squared 0.0475
Dep. Var: Size of Run Coef. Std. Error t P>|t| [95% Conf. Interval]
Last trade at Bid Price -0.197 0.067 -2.91 0.00 -0.329 -0.064
Lag(Quantity traded at Bid) 0.069 0.020 3.48 0.00 0.030 0.107 Lag2(Quantity traded at Bid) 0.129 0.020 6.51 0.00 0.090 0.168 Lag3(Quantity traded at Bid) 0.051 0.020 2.56 0.01 0.012 0.090 Lag3(Quantity traded at Bid) -0.001 0.020 -0.07 0.94 -0.041 0.038 Lag4(Quantity traded at Bid) -0.005 0.020 -0.26 0.80 -0.044 0.034 Lag5(Quantity traded at Bid) 0.051 0.020 2.56 0.01 0.012 0.089 lqatask
Quantity traded at Ask 0.051 0.020 2.58 0.01 0.012 0.090
Lag(Quantity traded at Ask) 0.081 0.020 4.05 0.00 0.042 0.120 Lag2(Quantity traded at Ask) 0.065 0.020 3.24 0.00 0.026 0.104 Lag3(Quantity traded at Ask) 0.128 0.020 6.46 0.00 0.089 0.167 Lag4(Quantity traded at Ask) 0.014 0.020 0.71 0.48 -0.025 0.053 Lag5(Quantity traded at Ask) 0.056 0.020 2.83 0.01 0.017 0.095 Lag6(Quantity traded at Ask) 0.003 0.019 0.14 0.89 -0.035 0.040
Time (in sec from Open) 0.061 0.048 1.28 0.20 -0.033 0.156
Time^2 (in sec from Open) 0.148 0.088 1.68 0.09 -0.025 0.321
Time^3 (in sec from Open) -0.002 0.033 -0.06 0.95 -0.066 0.062 Time^4 (in sec from Open) -0.048 0.040 -1.19 0.24 -0.127 0.031
Ttues Dummy -0.033 0.053 -0.62 0.54 -0.136 0.070
Wed Dummy 0.083 0.053 1.57 0.12 -0.020 0.186
Thurs Dummy 0.031 0.057 0.55 0.59 -0.081 0.143
Fri Dummy -0.052 0.054 -0.97 0.33 -0.158 0.054
First Trading Day of Month 0.183 0.080 2.29 0.02 0.027 0.339
Last Trading Day of Month -0.282 0.111 -2.55 0.01 -0.499 -0.065
Lag(Change in Bid Price) -1.152 0.983 -1.17 0.24 -3.080 0.776
Lag2(Change in Bid Price) 0.856 1.205 0.71 0.48 -1.506 3.218
Lag3(Change in Bid Price) -0.811 1.262 -0.64 0.52 -3.285 1.662
Lag4(Change in Bid Price) 0.561 1.262 0.44 0.66 -1.913 3.035
Lag5(Change in Bid Price) 0.758 1.207 0.63 0.53 -1.608 3.125
Lag6(Change in Bid Price) 1.109 0.985 1.13 0.26 -0.823 3.041
dbestask
Lag(Change in Ask Price) 0.472 1.091 0.43 0.67 -1.667 2.611
Lag2(Change in Ask Price) -0.409 1.285 -0.32 0.75 -2.928 2.111
Lag3(Change in Ask Price) 0.624 1.336 0.47 0.64 -1.996 3.243
Lag4(Change in Ask Price) -0.649 1.327 -0.49 0.63 -3.251 1.953 Lag5(Change in Ask Price) -1.681 1.268 -1.33 0.19 -4.166 0.804 Lag6(Change in Ask Price) -1.181 1.064 -1.11 0.27 -3.267 0.904
Constant 0.014 0.064 0.22 0.82 -0.112 0.141
GWT
Obs 1562
R-squared 0.0602
Adj R-squared 0.038
Dep. Var: Size of Run Coef. Std. Error t P>|t| [95% Conf. Interval]
Last trade at Bid Price -0.135 0.135 -1.00 0.32 -0.399 0.129
Lag(Quantity traded at Bid) 0.063 0.037 1.70 0.09 -0.010 0.136 Lag2(Quantity traded at Bid) 0.129 0.037 3.46 0.00 0.056 0.202 Lag3(Quantity traded at Bid) -0.060 0.037 -1.61 0.11 -0.133 0.013 Lag3(Quantity traded at Bid) 0.098 0.037 2.61 0.01 0.024 0.171 Lag4(Quantity traded at Bid) 0.050 0.037 1.34 0.18 -0.023 0.124 Lag5(Quantity traded at Bid) 0.066 0.037 1.76 0.08 -0.008 0.139 lqatask
Quantity traded at Ask -0.036 0.036 -0.98 0.33 -0.107 0.036
Lag(Quantity traded at Ask) 0.132 0.036 3.64 0.00 0.061 0.203 Lag2(Quantity traded at Ask) 0.058 0.037 1.59 0.11 -0.014 0.130 Lag3(Quantity traded at Ask) 0.051 0.037 1.41 0.16 -0.020 0.123 Lag4(Quantity traded at Ask) 0.003 0.037 0.08 0.94 -0.069 0.075 Lag5(Quantity traded at Ask) 0.057 0.036 1.56 0.12 -0.015 0.128 Lag6(Quantity traded at Ask) -0.038 0.036 -1.05 0.29 -0.108 0.033
Time (in sec from Open) 0.016 0.088 0.18 0.86 -0.156 0.188
Time^2 (in sec from Open) 0.139 0.152 0.92 0.36 -0.158 0.437
Time^3 (in sec from Open) 0.012 0.055 0.21 0.84 -0.097 0.120
Time^4 (in sec from Open) -0.051 0.067 -0.76 0.45 -0.183 0.081
Ttues Dummy 0.088 0.115 0.77 0.44 -0.137 0.313
Wed Dummy 0.133 0.109 1.21 0.23 -0.082 0.347
Thurs Dummy 0.051 0.117 0.43 0.67 -0.180 0.281
Fri Dummy -0.043 0.110 -0.39 0.70 -0.258 0.172
First Trading Day of Month -0.139 0.152 -0.91 0.36 -0.437 0.159
Last Trading Day of Month 0.167 0.217 0.77 0.44 -0.258 0.593
Lag(Change in Bid Price) -12.786 5.139 -2.49 0.01 -22.867 -2.706 Lag2(Change in Bid Price) -7.035 6.017 -1.17 0.24 -18.838 4.768 Lag3(Change in Bid Price) -15.728 6.189 -2.54 0.01 -27.868 -3.587 Lag4(Change in Bid Price) -10.289 6.203 -1.66 0.10 -22.457 1.879 Lag5(Change in Bid Price) -7.104 6.057 -1.17 0.24 -18.985 4.777 Lag6(Change in Bid Price) -8.277 5.166 -1.60 0.11 -18.410 1.857 dbestask
Lag(Change in Ask Price) 15.337 5.370 2.86 0.00 4.803 25.871
Lag2(Change in Ask Price) 14.902 6.360 2.34 0.02 2.427 27.377 Lag3(Change in Ask Price) 12.905 6.530 1.98 0.05 0.096 25.714 Lag4(Change in Ask Price) 8.097 6.512 1.24 0.21 -4.676 20.870 Lag5(Change in Ask Price) 7.182 6.306 1.14 0.26 -5.188 19.552 Lag6(Change in Ask Price) 6.061 5.315 1.14 0.25 -4.366 16.487
Constant -0.038 0.125 -0.30 0.76 -0.283 0.207
MBL
Obs 26084
R-squared 0.24
Adj R-squared 0.0227
Dep. Var: Size of Run Coef. Std. Error t P>|t| [95% Conf. Interval]
Last trade at Bid Price -0.052 0.031 -1.67 0.09 -0.114 0.009
Lag(Quantity traded at Bid) 0.004 0.009 0.41 0.68 -0.014 0.021 Lag2(Quantity traded at Bid) 0.087 0.009 9.69 0.00 0.069 0.104 Lag3(Quantity traded at Bid) 0.032 0.009 3.59 0.00 0.015 0.050 Lag3(Quantity traded at Bid) 0.048 0.009 5.35 0.00 0.030 0.066 Lag4(Quantity traded at Bid) 0.011 0.009 1.25 0.21 -0.006 0.029 Lag5(Quantity traded at Bid) 0.044 0.009 4.90 0.00 0.026 0.061 lqatask
Quantity traded at Ask -0.001 0.009 -0.16 0.87 -0.019 0.016
Lag(Quantity traded at Ask) 0.079 0.009 8.78 0.00 0.062 0.097 Lag2(Quantity traded at Ask) -0.011 0.009 -1.26 0.21 -0.029 0.006 Lag3(Quantity traded at Ask) 0.069 0.009 7.61 0.00 0.051 0.087 Lag4(Quantity traded at Ask) 0.025 0.009 2.76 0.01 0.007 0.043 Lag5(Quantity traded at Ask) 0.063 0.009 7.02 0.00 0.046 0.081 Lag6(Quantity traded at Ask) -0.003 0.009 -0.40 0.69 -0.021 0.014
Time (in sec from Open) 0.026 0.022 1.16 0.24 -0.017 0.068
Time^2 (in sec from Open) 0.128 0.041 3.12 0.00 0.048 0.208
Time^3 (in sec from Open) -0.008 0.014 -0.61 0.54 -0.035 0.018 Time^4 (in sec from Open) -0.027 0.018 -1.49 0.14 -0.063 0.009
Ttues Dummy -0.025 0.026 -0.96 0.34 -0.076 0.026
Wed Dummy 0.094 0.025 3.77 0.00 0.045 0.142
Thurs Dummy 0.052 0.025 2.05 0.04 0.002 0.101
Fri Dummy 0.030 0.026 1.15 0.25 -0.021 0.082
First Trading Day of Month -0.089 0.047 -1.88 0.06 -0.182 0.004 Last Trading Day of Month -0.144 0.053 -2.74 0.01 -0.248 -0.041
Lag(Change in Bid Price) -0.879 0.341 -2.58 0.01 -1.548 -0.211
Lag2(Change in Bid Price) 0.416 0.412 1.01 0.31 -0.391 1.224
Lag3(Change in Bid Price) 0.059 0.426 0.14 0.89 -0.777 0.895
Lag4(Change in Bid Price) -0.359 0.425 -0.84 0.40 -1.193 0.474 Lag5(Change in Bid Price) -0.450 0.411 -1.10 0.27 -1.255 0.356 Lag6(Change in Bid Price) -0.285 0.342 -0.83 0.41 -0.956 0.386 dbestask
Lag(Change in Ask Price) 0.822 0.348 2.36 0.02 0.140 1.503
Lag2(Change in Ask Price) -0.130 0.411 -0.32 0.75 -0.937 0.676 Lag3(Change in Ask Price) -0.262 0.426 -0.62 0.54 -1.097 0.573 Lag4(Change in Ask Price) -0.291 0.426 -0.68 0.50 -1.127 0.545 Lag5(Change in Ask Price) -0.323 0.411 -0.79 0.43 -1.129 0.483
Lag6(Change in Ask Price) 0.100 0.344 0.29 0.77 -0.574 0.774
Constant -0.093 0.029 -3.17 0.00 -0.150 -0.036
NWS
Obs 9256
R-squared 0.0228
Adj R-squared 0.019
Dep. Var: Size of Run Coef. Std. Error t P>|t| [95% Conf. Interval]
Last trade at Bid Price -0.097 0.054 -1.78 0.08 -0.203 0.010
Lag(Quantity traded at Bid) 0.021 0.015 1.35 0.18 -0.009 0.050 Lag2(Quantity traded at Bid) 0.057 0.015 3.76 0.00 0.027 0.087 Lag3(Quantity traded at Bid) 0.019 0.015 1.24 0.21 -0.011 0.049 Lag3(Quantity traded at Bid) 0.053 0.015 3.49 0.00 0.023 0.083 Lag4(Quantity traded at Bid) 0.008 0.015 0.52 0.60 -0.022 0.038 Lag5(Quantity traded at Bid) 0.054 0.015 3.55 0.00 0.024 0.084 lqatask
Quantity traded at Ask 0.019 0.015 1.32 0.19 -0.009 0.048
Lag(Quantity traded at Ask) 0.020 0.015 1.35 0.18 -0.009 0.048 Lag2(Quantity traded at Ask) -0.001 0.015 -0.08 0.94 -0.030 0.028 Lag3(Quantity traded at Ask) 0.085 0.015 5.85 0.00 0.057 0.114 Lag4(Quantity traded at Ask) 0.019 0.015 1.29 0.20 -0.010 0.048 Lag5(Quantity traded at Ask) 0.048 0.015 3.28 0.00 0.019 0.077 Lag6(Quantity traded at Ask) 0.014 0.014 0.99 0.32 -0.014 0.043
Time (in sec from Open) -0.063 0.038 -1.68 0.09 -0.137 0.011
Time^2 (in sec from Open) 0.261 0.071 3.65 0.00 0.120 0.401
Time^3 (in sec from Open) 0.057 0.024 2.39 0.02 0.010 0.103
Time^4 (in sec from Open) -0.074 0.032 -2.28 0.02 -0.137 -0.010
Ttues Dummy -0.035 0.045 -0.79 0.43 -0.123 0.052
Wed Dummy 0.000 0.042 0.00 1.00 -0.083 0.083
Thurs Dummy 0.016 0.042 0.39 0.70 -0.067 0.099
Fri Dummy -0.069 0.045 -1.54 0.12 -0.156 0.019
First Trading Day of Month 0.062 0.072 0.86 0.39 -0.080 0.204 Last Trading Day of Month -0.002 0.077 -0.02 0.98 -0.152 0.149
Lag(Change in Bid Price) -1.088 1.598 -0.68 0.50 -4.221 2.045 Lag2(Change in Bid Price) -0.799 1.918 -0.42 0.68 -4.559 2.960
Lag3(Change in Bid Price) 2.795 1.993 1.40 0.16 -1.112 6.702
Lag4(Change in Bid Price) 2.695 1.988 1.36 0.18 -1.202 6.592
Lag5(Change in Bid Price) 2.640 1.914 1.38 0.17 -1.112 6.393
Lag6(Change in Bid Price) 1.264 1.596 0.79 0.43 -1.865 4.392
dbestask
Lag(Change in Ask Price) 0.192 1.705 0.11 0.91 -3.150 3.534
Lag2(Change in Ask Price) 1.620 2.019 0.80 0.42 -2.339 5.578
Lag3(Change in Ask Price) -2.229 2.092 -1.07 0.29 -6.331 1.872 Lag4(Change in Ask Price) -2.811 2.087 -1.35 0.18 -6.901 1.279 Lag5(Change in Ask Price) -1.476 2.006 -0.74 0.46 -5.408 2.456 Lag6(Change in Ask Price) -0.709 1.692 -0.42 0.68 -4.025 2.608
Constant -0.086 0.050 -1.72 0.09 -0.185 0.012
ZFX
Obs 17246
R-squared 0.0202
Adj R-squared 0.0182
Dep. Var: Size of Run Coef. Std. Error t P>|t| [95% Conf. Interval]
Last trade at Bid Price 0.017 0.041 0.42 0.68 -0.064 0.098
Lag(Quantity traded at Bid) -0.004 0.011 -0.37 0.71 -0.026 0.018 Lag2(Quantity traded at Bid) 0.077 0.011 6.95 0.00 0.055 0.099 Lag3(Quantity traded at Bid) -0.009 0.011 -0.83 0.41 -0.031 0.013 Lag3(Quantity traded at Bid) 0.040 0.011 3.65 0.00 0.019 0.062 Lag4(Quantity traded at Bid) 0.008 0.011 0.77 0.44 -0.013 0.030 Lag5(Quantity traded at Bid) 0.037 0.011 3.34 0.00 0.015 0.059 lqatask
Quantity traded at Ask -0.008 0.011 -0.68 0.49 -0.029 0.014
Lag(Quantity traded at Ask) 0.072 0.011 6.54 0.00 0.050 0.094 Lag2(Quantity traded at Ask) 0.010 0.011 0.91 0.36 -0.012 0.032 Lag3(Quantity traded at Ask) 0.067 0.011 6.06 0.00 0.045 0.088 Lag4(Quantity traded at Ask) 0.044 0.011 4.03 0.00 0.023 0.066 Lag5(Quantity traded at Ask) 0.056 0.011 5.12 0.00 0.035 0.078 Lag6(Quantity traded at Ask) 0.000 0.011 -0.04 0.97 -0.022 0.021
Time (in sec from Open) -0.023 0.031 -0.74 0.46 -0.084 0.038
Time^2 (in sec from Open) 0.102 0.053 1.91 0.06 -0.003 0.206
Time^3 (in sec from Open) 0.048 0.023 2.11 0.04 0.003 0.093
Time^4 (in sec from Open) -0.045 0.026 -1.71 0.09 -0.096 0.006
Ttues Dummy -0.072 0.032 -2.24 0.03 -0.136 -0.009
Wed Dummy -0.003 0.031 -0.08 0.94 -0.063 0.058
Thurs Dummy 0.102 0.032 3.15 0.00 0.039 0.166
Fri Dummy 0.042 0.032 1.31 0.19 -0.021 0.105
First Trading Day of Month 0.053 0.048 1.09 0.28 -0.042 0.147 Last Trading Day of Month -0.125 0.059 -2.13 0.03 -0.240 -0.010
Lag(Change in Bid Price) -3.705 2.075 -1.79 0.07 -7.772 0.362 Lag2(Change in Bid Price) -0.071 2.533 -0.03 0.98 -5.036 4.894 Lag3(Change in Bid Price) -1.175 2.633 -0.45 0.66 -6.337 3.987 Lag4(Change in Bid Price) -1.087 2.633 -0.41 0.68 -6.248 4.073 Lag5(Change in Bid Price) -0.458 2.531 -0.18 0.86 -5.418 4.503 Lag6(Change in Bid Price) -2.012 2.073 -0.97 0.33 -6.076 2.052 dbestask
Lag(Change in Ask Price) 3.698 2.067 1.79 0.07 -0.353 7.749
Lag2(Change in Ask Price) -0.151 2.522 -0.06 0.95 -5.095 4.792
Lag3(Change in Ask Price) 2.049 2.625 0.78 0.44 -3.096 7.195
Lag4(Change in Ask Price) -0.290 2.628 -0.11 0.91 -5.441 4.862 Lag5(Change in Ask Price) -1.242 2.524 -0.49 0.62 -6.189 3.705
Lag6(Change in Ask Price) 0.534 2.077 0.26 0.80 -3.538 4.606
Constant -0.066 0.038 -1.75 0.08 -0.140 0.008