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

Table 1 Sample descriptives
Company name Ticker
symbol
Turnover Mkt.
Cap.
m Percentage
of aggr.
trades (%)
Trades
per day
LO sub. LO canc. P Eff.
spread
TUI TUI 26,281,175 2,025 24,723 17.6 1,063 6,767 5,714 18.7 0.125 0.015
CONTINENTAL CONT 25,627,638 4,060 25,574 13.5 1,002 8,036 7,052 31.6 0.092 −0.011
MAN MAN 27,685,031 2,434 26,189 13.0 1,057 7,214 6,235 27.7 0.096 0.003
METRO MEO 38,874,669 5,018 31,480 15.7 1,235 7,975 6,702 35.0 0.089 0.000
LINDE LIN 22,378,772 3,448 24,971 15.8 896 8,342 7,454 43.6 0.080 −0.009
LUFTHANSA LHA 43,946,809 4,548 32,504 11.9 1,352 8,079 6,780 14.2 0.111 0.022
FRESENIUS FME 12,850,947 1,944 20,680 16.7 621 5,764 5,195 54.0 0.098 0.010
THYSSEN-KRUPP TKA 37,892,493 6,450 30,017 11.3 1,262 7,864 6,672 15.9 0.111 0.029
DEUTSCHE POST DPW 43,836,617 6,806 33,330 11.0 1,315 6,861 5,666 18.2 0.097 0.018
HYPO-VEREINSB. HVM 98,351,090 6,629 50,783 15.0 1,937 10,204 8,293 18.7 0.098 0.019
COMMERZBANK CBK 53,171,668 7,569 36,659 12.6 1,450 11,922 10,476 15.4 0.100 0.023
ADIDAS-SALOMON ADS 31,976,047 4,104 32,635 20.1 980 8,057 7,105 92.6 0.070 −0.002
DEUTSCHE BOERSE DB1 35,696,903 4,847 36,359 18.4 982 6,598 5,698 46.9 0.075 0.003
HENKEL HEN3 18,174,548 3,682 25,904 16.6 702 7,989 7,306 65.9 0.077 0.005
ALTANA ALT 30,985,416 3,338 28,310 18.9 1,095 7,718 6,609 48.6 0.079 0.008
SCHERING SCH 51,413,053 7,055 33,756 16.2 1,523 9,111 7,669 40.8 0.071 0.004
INFINEON IFX 146,462,315 4,790 52,331 8.6 2,799 10,320 7,744 11.6 0.104 0.040
BAYER BAY 88,776,121 15,911 36,994 12.4 2,400 15,258 12,988 23.1 0.076 0.012
RWE RWE 97,655,566 12,653 42,203 13.0 2,314 14,438 12,355 33.8 0.062 0.002
BMW BMW 87,854,358 12,211 41,639 14.4 2,110 14,736 12,764 34.7 0.060 0.003
VOLKSWAGEN VOW 104,249,843 9,688 40,963 16.0 2,545 13,474 11,273 39.2 0.056 0.004
BASF BAS 124,434,537 25,425 48,236 13.8 2,580 18,211 15,898 43.3 0.051 0.002
SAP SAP 184,628,162 27,412 65,795 21.9 2,806 19,733 17,095 131.5 0.049 0.001
E.ON EOA 160,625,983 33,753 55,950 13.6 2,871 18,899 16,468 52.5 0.048 0.003
Real.
spread
88
S. Frey, J. Grammig