recent developments in high frequency financial ... - Index of

Table 6 (continued)
BHP NAB NCP TLS WOW BHP NAB NCP TLS WOW
Persistence parameters
β 11
0.987*** 0.945*** 0.994*** 0.986*** 0.994*** β 44
0.997*** 0.998*** 0.990*** 0.992*** 0.995***
β 22
0.987*** 0.951*** 0.984*** 0.985*** 0.995*** β 55
0.987*** 0.961*** 0.993*** 0.983*** 0.997***
β 33
0.997*** 0.994*** 0.997*** 0.994*** 0.994*** β 66
0.961*** 0.972*** 0.993*** 0.979*** 0.994***
Seasonality parameters
ν 12
11:00 −1.257*** −1.223*** −1.665*** −0.793*** −1.553*** ν 34
11:00 −1.449*** −1.291*** −1.495*** −0.913*** −1.660***
ν 12
12:00 0.791*** 0.912*** 1.499*** −0.137 1.339*** ν 34
12:00 0.989*** 1.326*** 1.505*** −0.189 1.245***
ν 12
13:00 −0.577*** −0.929*** −0.736*** −0.005 −0.362 ν 34
13:00 −0.172 −1.098*** −1.110*** 1.040* 0.191
ν 12
14:00 2.330*** 2.666*** 2.046*** 2.603*** 1.666*** ν 34
14:00 1.675*** 2.189*** 2.151*** 1.692*** 1.003***
ν 12
15:00 −0.311 −0.411* −0.579*** −1.491*** −0.134 ν 34
15:00 −0.975*** −0.755*** −0.336 −2.316*** −0.632
ν 12
16:00 0.286 0.355 1.291*** 1.402** 2.487*** ν 34
16:00 0.698** 0.174 −0.695** 3.150*** 1.044*
ν 56
11:00 −0.884*** −1.224*** −1.506*** −0.430 −1.612*** ν 56
14:00 3.110*** 3.064*** 2.309*** 4.714*** 1.505***
ν 56
12:00 0.502 1.249*** 1.304*** 0.598 1.227** ν 56
15:00 −0.646 −0.870** −0.586 −2.483*** −0.127
ν 56
13:00 −1.110*** −1.572*** −0.860*** −2.250*** −0.040 ν 56
Diagnostics
16:00 0.173 0.924 0.569 3.274*** 1.130
Obs 9,316 10,463 9,142 3,102 3,438
LL −22,351 −25,144 −21,277 −7,538 −6,967
BIC −22,680 −25,477 −21,605 −7,828 −7,260
Aggressive buy orders Aggressive sell orders
Mean of b"i 0.989 0.999 0.992 0.958 0.988 0.992 0.996 1.001 1.002 1.012
S.D. of b"i 1.016 1.020 1.051 0.930 1.087 1.027 1.044 1.058 0.957 1.084
LB(20) of b"i 13.858 18.542 18.892 27.911 20.361 12.845 27.835 20.016 17.917 17.768
Exc. disp. 0.515 0.760 1.831* 1.079 1.869* 0.934 1.712 2.075** 0.698 1.864*
Aggressive ask limit orders Aggressive bid limit orders
Mean of b"i 0.983 1.009 1.015 0.987 0.987 0.997 0.986 0.964 0.966 0.946
S.D. of b"i 1.036 1.048 1.070 0.953 1.001 1.012 1.033 1.020 0.921 0.992
Order aggressiveness and order book dynamics 157