Figure 1: Time-of-the-day effect This figure presents the time-of-day effect of each bank of the two samples. The figure shows the ratio of the 5-minute means over the day relative to the overall mean. BGFX, BHFX, RABO and SGOX are observed from May 14 to September 10, 2001. BARL, DREF, OHVA, OKOH, SHKH and UBSZ are observed from August 24 to October 26, 2001.

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Figure 2: Correlogram of banks’ quoting and standardised residuals from DACP models This figure presents the correlogram of banks activity and of standardised residuals from DACP models. The standardised residuals (Pearson residuals) are defined as The dashed line represents the autocorrelations of the raw series, and the solid line the autocorrelations of the Pearson residual. The 95% bounds of significance are also plotted.

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Figure 3: Quantile plot of the Z statistic of individual banks This figure presents the quantile plot of the Z statistic of individual banks. This statistic is defined as the probability integral transform of the original data under the estimated density, in our case, the double Poisson:Z_t= F* ( N _t, µ_t) , see Appendix 2 for more details.

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By Dr W. B. Omrane and A. Heinen

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