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

Table 3 (continued)
Volume
(percentile)
Duration
(percentile)
Δpt ≤−2 −1≤Δpt ≤ 1 Δpt ≥−2
IBM GE BA MO IBM GE BA MO IBM GE BA MO
(b) Buyer-initiated trades 20th 20th 0.021 0.006 0.016 0.015 0.804 0.895 0.868 0.843 0.176 0.099 0.116 0.142
40th 0.030 0.008 0.023 0.019 0.743 0.868 0.802 0.809 0.227 0.124 0.175 0.171
60th 0.033 0.007 0.022 0.015 0.717 0.854 0.799 0.834 0.250 0.140 0.179 0.151
80th 0.037 0.007 0.031 0.013 0.695 0.855 0.783 0.822 0.269 0.138 0.187 0.165
40th 20th 0.015 0.006 0.014 0.012 0.813 0.891 0.857 0.841 0.171 0.103 0.129 0.148
40th 0.026 0.008 0.021 0.015 0.729 0.861 0.786 0.806 0.245 0.131 0.193 0.179
60th 0.030 0.008 0.022 0.012 0.700 0.846 0.784 0.819 0.269 0.146 0.194 0.169
80th 0.035 0.007 0.027 0.012 0.676 0.852 0.776 0.821 0.288 0.141 0.198 0.168
60th 20th 0.013 0.006 0.011 0.010 0.816 0.886 0.890 0.837 0.171 0.108 0.100 0.154
40th 0.024 0.008 0.019 0.012 0.701 0.848 0.776 0.793 0.275 0.145 0.206 0.195
60th 0.027 0.008 0.021 0.011 0.694 0.831 0.783 0.807 0.279 0.161 0.197 0.182
80th 0.033 0.007 0.025 0.010 0.650 0.838 0.766 0.798 0.317 0.155 0.210 0.192
80th 20th 0.015 0.005 0.012 0.007 0.844 0.888 0.866 0.844 0.142 0.107 0.123 0.149
40th 0.019 0.009 0.017 0.010 0.719 0.866 0.729 0.767 0.261 0.125 0.254 0.223
60th 0.024 0.007 0.020 0.011 0.657 0.795 0.765 0.789 0.319 0.199 0.215 0.200
80th 0.030 0.008 0.021 0.007 0.602 0.804 0.745 0.743 0.368 0.188 0.234 0.250
Intraday stock prices, duration, and volume 263