4 .1
5 .1
138
.20, .25, k = 1, q = 5
5 .2
97
p~
6 .1
6 .2
nian bridge
Autocorrelograms of equally-weighted CRSP daily and
monthly stock returns indexes and fractionally-differenced
process with d = 1/4
170
7 .1
7 .2
10 .1
10 .2
10 .3
203
206
293
30, 1988
301
327
List ofFigures
xiv
10 .4
10 .5
11 .1
11 .2
12 .1
12 .2
12 .3
12 .4
12 .5
12 .6
Percentage price impact as a function of dollar volume computed from ordered probit probabilities, conditional on the
three most recent trades being buyer-initiated, and the three
most recent price changes being +1 tick each for the period
from January 4, 1988, to December 30, 1988 .
Discreteness matters
Mispricing (percent of index value) for (a) December 1984
and (b) March 1987 S&P 500 futures contracts
Boundary of mean absolute mispricing as a function of time
to maturity
330
332
361
364
375
1987
Plot of fifteen-minute returns on non-S&P stocks versus the
order imbalance in the same fifteen minutes for October 20,
383
1987
385
376
381
382
391