Table 1 Definitions of variables and descriptive statistics
From: Research on the impact of algorithmic trading on market volatility
Pooled | GEM | MBM | SME | Within | ||
|---|---|---|---|---|---|---|
Variable | Description | Mean | Mean | Mean | Mean | SD |
\(AT_{{{\text{volume}}}}\) | Negative of the day’s trading volume (unit: 100 yuan) divided by the number of electronic messages (AT proxy variable) | −60.511 | −64.160 | −58.438 | −58.456 | 28.701 |
\(AT_{trades}\) | Number of the day’s electronic messages divided by the number of filled orders (AT proxy variable) | 6.566 | 6.483 | 6.776 | 6.534 | 3.195 |
\(Depth1\) | Intraday mean of 1 level average depth (thousand lots) | 0.855 | 0.373 | 1.925 | 0.737 | 3.972 |
\(Depth5\) | Intraday mean of 5 levels average depth (thousand lots) | 5.340 | 2.341 | 11.949 | 4.635 | 23.206 |
\(RQS\) | Intraday mean of relative quote spread (basis point) | 16.108 | 14.525 | 18.637 | 16.202 | 7.771 |
\(1/P\) | Reciprocal of the day’s closing price | 0.123 | 0.094 | 0.164 | 0.126 | 0.085 |
\(Vol\) | Trading volume of the day (unit: 1 million yuan) | 115.439 | 107.691 | 138.789 | 110.551 | 240.286 |
\(Herd\) | Individual stock herd indicator measured by LSV method | −9.332 | −10.306 | −8.351 | −8.992 | 22.750 |
\(Sentiment\) | Daily individual stock sentiment indicator measured by PCA method | 0.000 | 0.156 | −0.198 | −0.034 | 1.000 |
\(Amplitude\) | Intraday price amplitude (basis point) | 386.175 | 422.601 | 335.523 | 380.283 | 226.245 |
\(\left| {Pctchg} \right|\) | Absolute value of the day’s returns (basis point) | 203.744 | 225.129 | 176.082 | 199.273 | 200.806 |
\(Volatility\) | Standard deviation of intraday returns at different times (basis point) | 82.646 | 91.441 | 71.162 | 80.859 | 54.299 |
