1TimeN 1 FAUC 365 Description NTimeN 0.001 (0.0000) N (0.0000) tdel 4: Deptht 0 1Spreadt 1Time1 2Time2 N 1TimeN 1 NTimeN
1TimeN 1 NTimeN 0.001 (0.0000) N (0.0000) tdel 4: Deptht 0 1Spreadt 1Time1 2Time2 N 1TimeN 1 NTimeN 2Volumet 3 Levelt four Volatilityt t . Depth is cal-as the sum from the depth accessible across all 5 PX-478 Metabolic Enzyme/Protease,Autophagy levels. Spread is calculated as the sum in the depth-weighted This table presents the coefficient estimates for Model 3:Deptht = 0 1 Spreadt 1 Time1 two Time2 N -1 Time N -1 N Time N t across all fiveand Model 4: Deptht computed because the sum of trade volume-1 Time N -1 Ninterval.Level is trepresentedby levels. Volume is = 0 1 Spreadt 1 Time1 two Time2 N in each and every time Time N 2 Volume three Levelt 4 Volatilityt t . n trade cost Depth is calculated because the sum with the depth obtainable across all five levels. Spread is calculated as the sum of in each time in each and every time interval. Volatility is defined by the typical deviation of trade prices the depth-weighted spreads across all 5 levels. Time is a dummy variable for Volume is computed because the sum of trade volumeone or time interval.1,Level is2represented and TimeN,trade price within the time interval that requires a value of in every zero. Time Time , TimeN-1, by the mean each and every time interval. Volatility is defined by the normal deviation of trade prices in each and every time interval. Time is usually a dummy variable for the time nt the first, second, second toalast, and final zero. Time1 , Time2 , Timeday,and TimeN , represent theregression is estimatedand last time interval interval that requires worth of one particular or time interval every single N- 1 , respectively. Each 1st, second, second to last, working with each day, respectively. Each and every regression is estimated applying together with the Newey and West (1987) correction. ps (1982) generalized approach of moments (GMM) procedure Hansen’s (1982) generalized system of moments (GMM) process as well as the Newey and re provided in parenthesis. West (1987) correction. p-values are provided in parenthesis.-291,173 (0.0000) -9.26E6 (0.0000)0.762 (0.0001) -29.177 (0.0310)FigureFigure 2. Scatterplot of depth and spread. This figurescatterplot a scatterplot in the depth and spread 2. Scatterplot of depth and spread. This figure presents a presents of the depth and spread employing 15-min interval utilizing 15-min interval depicts euro futures, (c) depicts (b) futures, euro futures, (c) depicts Depth is calculated information. (a) Depicts oil futures, (b) information. (a) Depicts oil futures, yen depicts and (d) depicts gold futures.yen futures, because the sum on the depth available across all 5 levels. Spread is calculated as the sum of your depth-weighted spreads across all 5 levels.Across all 4 futures contracts, bigger (smaller sized) limit book depth is connected with smaller sized (larger) limit order book spread. In other words, liquid limit order books include aInt. J. Economic Stud. 2021, 9,11 oflarge level of volume accessible for trade. Table 7 displays benefits for the relation in between depth and spread at every level inside the limit order book.Table 7. Depth pread relation at every level. Panel A: Oil Variables Intercept Spread Time1 Time2 TimeN- 1 TimeN Volume Level Volatility Panel B: Euro Variables Intercept Spread Time1 Time2 TimeN- 1 TimeN Volume Level Volatility Panel C: Yen Variables Intercept Spread Time1 Time2 TimeN- 1 TimeN Volume Level Volatility Panel D: Gold Variables Intercept Spread Time1 Time2 TimeN- 1 TimeN Volume Level Volatility Level 1 Coeff. (p-Val.) 16.054 (0.0000) -4.105 (0.0000) -0.529 (0.0000) -0.430 (0.0000) 0.332 (0.0109) 1.365 (0.0000) 0.000 (0.0000) 0.022 (0.0000) -0.737 (0.3086) Level 1 Coeff. (p-.