Oct
10
Microstructure, from Steve Ellison
October 10, 2008 |
Price difference (absolute value) between consecutive ticks for the S&P 500 big contract, using E**** Descriptive Statistics:
4/7/2008 10/8/2008
Mean 0.2 0.6
Median 0.2 0.5
Mode 0.2 0.5
Standard Deviation 0.1 0.2
Minimum 0.0 0.0
Maximum 0.5 3.5
Sum 394.5 2162.7
Count 2006 3639
95th percentile 0.3 1.0
5th percentile 0.1 0.5
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