1TimeN 1 NTimeN 0.001 (0.0000) N (0.0000) tdel four: Deptht 0 1Spreadt 1Time1 2Time2 N

1TimeN 1 NTimeN 0.001 (0.0000) N (0.0000) tdel four: Deptht 0 1Spreadt 1Time1 2Time2 N 1TimeN 1 NTimeN
1TimeN 1 NTimeN 0.001 (0.0000) N (0.0000) tdel four: Deptht 0 1Spreadt 1Time1 2Time2 N 1TimeN 1 NTimeN 2Volumet three Levelt 4 Volatilityt t . Depth is cal-as the sum from the depth readily available Ziritaxestat Epigenetics across all 5 levels. Spread is calculated as the sum of your depth-weighted This table presents the coefficient estimates for Model three:Deptht = 0 1 Spreadt 1 Time1 2 Time2 N -1 Time N -1 N Time N t across all fiveand Model four: 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 two Volume three Levelt 4 Volatilityt t . n trade cost Depth is calculated as the sum of the depth accessible across all five levels. Spread is calculated because the sum of in each and every time in each and every time interval. Volatility is defined by the normal deviation of trade prices the depth-weighted spreads across all five levels. Time is really a dummy variable for Volume is computed because the sum of trade volumeone or time interval.1,Level is2represented and TimeN,trade value MRTX-1719 Epigenetics within the time interval that requires a worth of in each and every zero. Time Time , TimeN-1, by the imply every single time interval. Volatility is defined by the normal deviation of trade rates in each time interval. Time is really a dummy variable for the time nt the initial, second, second toalast, and final zero. Time1 , Time2 , Timeday,and TimeN , represent theregression is estimatedand last time interval interval that requires value of a single or time interval each N- 1 , respectively. Each and every first, second, second to final, working with each and every day, respectively. Every single regression is estimated employing along with the Newey and West (1987) correction. ps (1982) generalized system of moments (GMM) process Hansen’s (1982) generalized method of moments (GMM) procedure together with the Newey and re offered 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 two. Scatterplot of depth and spread. This figurescatterplot a scatterplot of the depth and spread 2. Scatterplot of depth and spread. This figure presents a presents on the depth and spread employing 15-min interval using 15-min interval depicts euro futures, (c) depicts (b) futures, euro futures, (c) depicts Depth is calculated data. (a) Depicts oil futures, (b) information. (a) Depicts oil futures, yen depicts and (d) depicts gold futures.yen futures, because the sum from the depth obtainable across all five levels. Spread is calculated because the sum with the 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. Monetary Stud. 2021, 9,11 oflarge volume of volume readily available for trade. Table 7 displays benefits for the relation amongst depth and spread at each 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-.