qt qMid trade Obs symbol date time price size Prevailing Seqno q dp dq 1 ESSX 20100901 10:01:30 5.2000 100 4.980 1 1 . . 2 ESSX 20100901 12:08:20 4.3100 100 4.715 2 -1 -0.8900 -2 3 ESSX 20100901 12:08:20 4.3100 100 4.715 3 -1 0.0000 0 4 ESSX 20100901 12:08:20 4.2600 100 4.715 4 -1 -0.0500 0 5 ESSX 20100901 12:11:20 4.8900 100 4.635 5 1 0.6300 2 6 ESSX 20100901 12:11:24 4.9500 100 4.635 6 1 0.0600 0 7 ESSX 20100901 12:11:28 4.9800 100 4.635 7 1 0.0300 0 8 ESSX 20100901 12:13:32 5.0800 100 5.045 8 1 0.1000 0 9 ESSX 20100901 12:13:51 5.2000 100 5.105 9 1 0.1200 0 10 ESSX 20100901 12:13:51 5.2000 184 5.105 10 1 0.0000 0 11 ESSX 20100901 12:23:42 5.0500 5000 5.020 11 1 -0.1500 0 12 ESSX 20100901 12:23:42 5.0500 1600 5.020 12 1 0.0000 0 13 ESSX 20100901 13:00:32 5.2000 100 4.750 13 1 0.1500 0 14 ESSX 20100901 14:27:26 4.8200 100 4.820 14 0 -0.3800 -1 15 ESSX 20100901 14:27:26 4.8200 800 4.820 15 0 0.0000 0 16 ESSX 20100901 14:27:42 4.4500 200 4.820 16 -1 -0.3700 -1 17 ESSX 20100901 14:27:42 5.2000 100 4.820 17 1 0.7500 2 18 ESSX 20100901 15:59:20 4.4900 100 4.820 18 -1 -0.7100 -2 19 ESSX 20100901 16:00:00 4.4900 100 4.610 19 -1 0.0000 0 20 ESSX 20100901 16:00:00 4.4900 100 4.610 20 -1 0.0000 0 21 ESSX 20100902 9:30:00 4.8900 100 5.170 21 -1 . . 22 ESSX 20100902 9:37:53 4.8800 200 4.570 22 1 -0.0100 2 23 ESSX 20100902 9:37:53 4.8900 100 4.570 23 1 0.0100 0 24 ESSX 20100902 9:37:53 4.8900 2130 4.570 24 1 0.0000 0 25 ESSX 20100902 9:38:01 4.8900 100 4.570 25 1 0.0000 0 26 ESSX 20100902 9:38:01 4.8900 2400 4.570 26 1 0.0000 0 27 ESSX 20100902 9:38:38 4.3300 100 4.620 27 -1 -0.5600 -2 28 ESSX 20100902 9:39:18 4.9900 100 4.620 28 1 0.6600 2 29 ESSX 20100902 9:39:18 4.9900 891 4.620 29 1 0.0000 0 30 ESSX 20100902 10:20:30 4.9699 200 4.595 30 1 -0.0201 0 31 ESSX 20100902 11:34:03 4.9300 100 4.725 31 1 -0.0399 0 32 ESSX 20100902 11:34:03 4.9400 100 4.725 32 1 0.0100 0 33 ESSX 20100902 11:34:03 4.9400 100 4.725 33 1 0.0000 0 34 ESSX 20100902 11:34:03 4.9400 300 4.725 34 1 0.0000 0 35 ESSX 20100902 11:34:03 4.9400 100 4.725 35 1 0.0000 0 36 ESSX 20100902 11:34:03 4.9400 198 4.725 36 1 0.0000 0 37 ESSX 20100902 11:34:03 4.9400 100 4.725 37 1 0.0000 0 38 ESSX 20100902 11:34:03 4.9400 100 4.725 38 1 0.0000 0 39 ESSX 20100902 11:34:03 4.9400 500 4.725 39 1 0.0000 0 40 ESSX 20100902 11:34:03 4.9400 100 4.725 40 1 0.0000 0 41 ESSX 20100902 11:34:03 4.9400 100 4.725 41 1 0.0000 0 42 ESSX 20100902 11:34:03 4.9400 100 4.725 42 1 0.0000 0 43 ESSX 20100902 11:34:03 4.9400 100 4.725 43 1 0.0000 0 44 ESSX 20100902 13:10:57 5.1400 100 4.945 44 1 0.2000 0 45 ESSX 20100902 14:19:43 5.0000 1000 4.945 45 1 -0.1400 0 46 ESSX 20100902 15:18:52 5.0000 5000 4.945 46 1 0.0000 0 47 ESSX 20100902 15:55:25 4.9501 100 4.970 47 -1 -0.0499 -2 48 ESSX 20100902 15:55:30 4.9500 100 4.970 48 -1 -0.0001 0 49 ESSX 20100902 15:55:30 4.9500 100 4.970 49 -1 0.0000 0 50 ESSX 20100903 11:23:41 5.2400 100 5.095 50 1 . . Generalized Roll model The MODEL Procedure Model Summary Model Variables 1 Parameters 2 Equations 1 Number of Statements 1 Program Lag Length 1 Model Variables dp Parameters c lambda Equations dp The Equation to Estimate is dp = F(c, lambda) The estimation lag length 1 NOTE: At OLS Iteration 1 CONVERGE=0.001 Criteria Met. Generalized Roll model The MODEL Procedure OLS Estimation Summary Data Set Options DATA= QT Minimization Summary Parameters Estimated 2 Method Gauss Iterations 1 Final Convergence Criteria R 0 PPC 0 RPC(c) 457.1372 Object 0.190707 Trace(S) 0.00616 Objective Value 0.006153 Observations Processed Read 1715 Solved 1714 First 2 Last 1715 Used 1632 Missing 82 Lagged 1 Generalized Roll model The MODEL Procedure Nonlinear OLS Summary of Residual Errors DF DF Adj Equation Model Error SSE MSE Root MSE R-Square R-Sq dp 2 1630 10.0412 0.00616 0.0785 0.1917 0.1912 Nonlinear OLS Parameter Estimates Approx Approx Parameter Estimate Std Err t Value Pr > |t| c 0.046271 0.00268 17.24 <.0001 lambda 0.003894 0.00214 1.82 0.0687 Number of Observations Statistics for System Used 1632 Objective 0.006153 Missing 82 Objective*N 10.0412 Generalized Roll model IRF calculations based on an initial one-unit buy order (q=+1) t q Dp -2 0 0 -1 0 0 0 1 . 1 0 . 2 0 . 3 0 . 4 0 . 5 0 . 6 0 . 7 0 . 8 0 . 9 0 . 10 0 . Generalized Roll model IRF calculations based on an initial one-unit buy order (q=+1) The MODEL Procedure Model Summary Model Variables 1 Parameters 2 ID Variables 1 Equations 1 Number of Statements 2 Program Lag Length 1 Model Variables dp Parameters(Value(t Value)) c(0.0462708614(17.242689733)) lambda(0.0038944867(1.821782258)) Equations dp Generalized Roll model IRF calculations based on an initial one-unit buy order (q=+1) The MODEL Procedure Dynamic Single-Equation Forecast Data Set Options DATA= U OUT= IRF Solution Summary Variables Solved 1 Forecast Lag Length 1 Solution Method NEWTON CONVERGE= 1E-8 Maximum CC 1.5E-16 Maximum Iterations 1 Total Iterations 12 Average Iterations 1 Observations Processed Read 13 Lagged 1 Solved 12 First 2 Last 13 Variables Solved For dp Generalized Roll model IRF calculations based on an initial one-unit buy order (q=+1) cumDp cumq t dp q 0.000000 0 -1 0.000000 0 0.050165 1 0 0.050165 1 0.003894 1 1 -0.046271 0 0.003894 1 2 0.000000 0 0.003894 1 3 0.000000 0 0.003894 1 4 0.000000 0 0.003894 1 5 0.000000 0 0.003894 1 6 0.000000 0 0.003894 1 7 0.000000 0 0.003894 1 8 0.000000 0 0.003894 1 9 0.000000 0 0.003894 1 10 0.000000 0 Generalized Roll model with autocorrelated q(t) The MODEL Procedure Model Summary Model Variables 2 Parameters 3 Equations 2 Number of Statements 2 Program Lag Length 1 Model Variables dp q Parameters c lambda a Equations dp q The 2 Equations to Estimate dp = F(c, lambda) q = F(a) The estimation lag length 1 NOTE: At OLS Iteration 1 CONVERGE=0.001 Criteria Met. Generalized Roll model with autocorrelated q(t) The MODEL Procedure OLS Estimation Summary Data Set Options DATA= QT Minimization Summary Parameters Estimated 3 Method Gauss Iterations 1 Final Convergence Criteria R 0 PPC 0 RPC(a) 6756.142 Object 0.464155 Trace(S) 0.529997 Objective Value 0.529668 Observations Processed Read 1715 Solved 1714 First 2 Last 1715 Used 1632 Missing 82 Lagged 1 Generalized Roll model with autocorrelated q(t) The MODEL Procedure Nonlinear OLS Summary of Residual Errors DF DF Adj Equation Model Error SSE MSE Root MSE R-Square R-Sq dp 2 1630 10.0412 0.00616 0.0785 0.1917 0.1912 q 1 1631 854.4 0.5238 0.7238 0.4642 0.4642 Nonlinear OLS Parameter Estimates Approx Approx Parameter Estimate Std Err t Value Pr > |t| c 0.046271 0.00268 17.24 <.0001 lambda 0.003894 0.00214 1.82 0.0687 a 0.68247 0.0181 37.75 <.0001 Number of Observations Statistics for System Used 1632 Objective 0.5297 Missing 82 Objective*N 864.4186 Covariance of Residuals dp q dp 0.0061602 -.0000000 q -.0000000 0.5238366 Generalized Roll model with autocorrelated q(t) IRF calculations based on an initial one-unit buy order (q=+1) t q Dp -2 0 0 -1 0 0 0 1 . 1 . . 2 . . 3 . . 4 . . 5 . . 6 . . 7 . . 8 . . 9 . . 10 . . Generalized Roll model with autocorrelated q(t) IRF calculations based on an initial one-unit buy order (q=+1) The MODEL Procedure Model Summary Model Variables 2 Parameters 3 ID Variables 1 Equations 2 Number of Statements 3 Program Lag Length 1 Model Variables dp q Parameters(Value(t Value)) c(0.0462708614(17.242689733)) lambda(0.0038944867(1.821782258)) a(0.6824703681(37.753103701)) Equations dp q Generalized Roll model with autocorrelated q(t) IRF calculations based on an initial one-unit buy order (q=+1) The MODEL Procedure Dynamic Simultaneous Forecast Data Set Options DATA= U OUT= IRF Solution Summary Variables Solved 2 Forecast Lag Length 1 Solution Method NEWTON CONVERGE= 1E-8 Maximum CC 2.61E-16 Maximum Iterations 1 Total Iterations 12 Average Iterations 1 Observations Processed Read 13 Lagged 1 Solved 12 First 2 Last 13 Variables Solved For dp q Generalized Roll model with autocorrelated q(t) IRF calculations based on an initial one-unit buy order (q=+1) t dp q -1 0.000000 0.00000 0 0.050165 1.00000 1 -0.012034 0.68247 2 -0.008213 0.46577 3 -0.005605 0.31787 4 -0.003825 0.21694 5 -0.002611 0.14805 6 -0.001782 0.10104 7 -0.001216 0.06896 8 -0.000830 0.04706 9 -0.000566 0.03212 10 -0.000387 0.02192 Generalized Roll model with autocorrelated q(t) IRF calculations based on an initial one-unit buy order (q=+1) cumDp cumq t dp q 0.000000 0.00000 -1 0.000000 0.00000 0.050165 1.00000 0 0.050165 1.00000 0.038131 1.68247 1 -0.012034 0.68247 0.029918 2.14824 2 -0.008213 0.46577 0.024312 2.46611 3 -0.005605 0.31787 0.020487 2.68305 4 -0.003825 0.21694 0.017876 2.83110 5 -0.002611 0.14805 0.016094 2.93214 6 -0.001782 0.10104 0.014879 3.00110 7 -0.001216 0.06896 0.014049 3.04816 8 -0.000830 0.04706 0.013482 3.08028 9 -0.000566 0.03212 0.013096 3.10220 10 -0.000387 0.02192