Dependent Variable: NUMBER_TICKS

Method: Least Squares

Date: 03/06/13 Time: 10:23
Sample: 1 2212
Included observations: 2212
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
TIME
TIME^2

2905.774
-4.330244
0.001731

144.2806
0.225778
8.58E-05

20.13974
-19.17917
20.17213

0.0000
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.191359
0.190627
228.3872
1.15E+08
-15150.66
261.3719
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

313.0475
253.8618
13.70132
13.70905
13.70414
0.995536

NUMBER_TICKS = 2905.77351087 - 4.33024409381*TIME + 0.00173108016369*TIME^2

Dependent Variable: VOLUME
Method: Least Squares
Date: 03/06/13 Time: 09:55
Sample: 1 2212
Included observations: 2212
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
TIME
TIME^2

1464650.
-2369.274
0.961333

73869.82
115.5957
0.043936

19.82745
-20.49621
21.88011

0.0000
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.243700
0.243015
116931.3
3.02E+13
-28949.78
355.8995
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

71177.90
134396.3
26.17792
26.18565
26.18074
1.678072

VOLUME = 1464649.74122 - 2369.27392181*TIME + 0.961333162542*TIME^2

Dependent Variable: VOLATILITY

Method: Least Squares
Date: 03/06/13 Time: 09:55
Sample: 1 2212
Included observations: 2212
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
TIME
TIME^2

1.049245
-0.001300
4.64E-07

0.066109
0.000103
3.93E-08

15.87134
-12.56767
11.81172

0.0000
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.093204
0.092383
0.104647
24.19079
1855.650
113.5241
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.172780
0.109844
-1.675091
-1.667358
-1.672266
1.535399

VOLATILITY = 1.04924548663 - 0.00130014754088*TIME + 4.64444830534e-07*TIME^2

Dependent Variable: VOLATILITY

Method: Least Squares
Date: 03/06/13 Time: 09:52
Sample: 1 2212
Included observations: 2212
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
TIME

0.280838
-8.27E-05

0.012125
9.11E-06

23.16161
-9.075724

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.035932
0.035495
0.107877
25.71864
1787.914
82.36877
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

VOLATILITY = 0.280837841092 - 8.26689808826e-05*TIME

0.172780
0.109844
-1.614751
-1.609596
-1.612868
1.443123

Dependent Variable: VOLUME

Method: Least Squares
Date: 03/06/13 Time: 09:53
Sample: 1 2212
Included observations: 2212
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
TIME

-125842.2
150.7294

14493.96
10.88834

-8.682386
13.84319

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.079793
0.079377
128952.0
3.67E+13
-29166.73
191.6340
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

71177.90
134396.3
26.37317
26.37833
26.37506
1.412145

VOLUME = -125842.182561 + 150.729397137*TIME

Dependent Variable: NUMBER_TICKS

Method: Least Squares
Date: 03/06/13 Time: 09:54
Sample: 1 2212
Included observations: 2212
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
TIME

41.76223
0.207546

27.92842
0.020981

1.495331
9.892198

0.1350
0.0000

R-squared
Adjusted R-squared

0.042401
0.041968

Mean dependent var

S.D. dependent var

313.0475
253.8618

S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

248.4777
1.36E+08
-15337.65
97.85559
0.000000

Akaike info criterion

Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

NUMBER_TICKS = 41.7622325294 + 0.207545642194*TIME

13.86949
13.87464
13.87137
0.844267