List of Figures

4 .1

5 .1

First-order autocorrelation of temporally aggregated observed

individual and portfolio returns as a function of the per period nontrading probability p, where q is the aggregation
value and ~ _ /-~/~
Loci of nontrading probability pairs (pa , pb) that imply a constant cross-autocorrelation ~ b (k), for ~ab (k) _ .05, .10, .15,

138

.20, .25, k = 1, q = 5

5 .2

97

Cross-autocorrelation pab (k) as a function of

q=5,k=1

p~

and pb, for

139

6 .1

Distribution and density function of the range V of a Brow162

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

Distributions for the CAPM zero-intercept test statistic for

four alternatives with monthly data
Distributions for the CAP zero-intercept test statistic for
four alternatives with weekly data

203
206

Illustration of ordered probit probabilities p= of observing a

price change of si ticks, which are determined by where the
unobservable "virtual" price change Zk falls
Histograms of price changes, time-between-trades, and dollar volume for the period from January 4, 1988, to December

293

30, 1988

301

Comparison of estimated ordered probit probabilities of price

change, conditioned on a sequence of increasing prices
(1/1/1) versus a sequence of constant prices (0/0/0)

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

Comparison of price indexes for NYSE stocks included in

the S&P 500 Index and not included for October 19 and 20,
1987
Plot of dollar volume in each fifteen-minute interval on October 19 and 20, 1987 as a percent of the market value of the
stocks outstanding separately for S&P and non-S&P stocks
Plot of fifteen-minute returns on S&P stocks versus the order imbalance in S&P stocks in the same fifteen minutes for
October 19, 1987
Plot of fifteen-minute returns on S&P stocks versus the order
imbalance in the same fifteen minutes for October 20, 1987
Plot of fifteen-minute returns on non-S&P stocks versus the
order imbalance in the same fifteen minutes for October 19,

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

12A.1 Comparison of various constructed indexes measuring the

S&P Composite Index with the published S&P Index on October 19, 1987

376

381
382

391