Coincheck | BtcBox | bitFlyer | ||||
---|---|---|---|---|---|---|
AVG | CR | AVG | CR | AVG | CR | |
(1) | (2) | (1) | (2) | (1) | (2) | |
Intercept | \(-\) 0.0966*** | \(-\) 0.2050*** | 0.1327*** | 0.0781*** | \(-\) 0.3952*** | \(-\) 0.1192*** |
(0.0054) | (0.0145) | (0.0129) | (0.0098) | (0.0243) | (0.0326) | |
GMT01_JST10 | 0.0005 | 0.0022 | 0.0068 | 0.0033 | 0.0119** | 0.0243*** |
(0.0013) | (0.0036) | (0.0045) | (0.0027) | (0.0044) | (0.0063) | |
GMT02_JST11 | \(-\) 0.0008 | \(-\) 0.0015 | 0.0085 | 0.0035 | 0.0030 | 0.0047 |
(0.0013) | (0.0035) | (0.0051) | (0.0032) | (0.0042) | (0.0058) | |
GMT03_JST12 | \(-\) 0.0003 | 0.0010 | 0.0037 | 0.0033 | 0.0145*** | 0.0159** |
(0.0013) | (0.0036) | (0.0041) | (0.0031) | (0.0043) | (0.0060) | |
GMT04_JST13 | \(-\) 0.0000 | 0.0035 | 0.0056 | 0.0036 | 0.0102* | 0.0174** |
(0.0013) | (0.0036) | (0.0042) | (0.0032) | (0.0043) | (0.0060) | |
GMT05_JST14 | 0.0003 | 0.0056 | \(-\) 0.0017 | \(-\) 0.0016 | 0.0025 | 0.0046 |
(0.0013) | (0.0036) | (0.0030) | (0.0022) | (0.0043) | (0.0059) | |
GMT06_JST15 | 0.0021 | 0.0074* | \(-\) 0.0017 | \(-\) 0.0023 | 0.0082 | 0.0144* |
(0.0014) | (0.0037) | (0.0033) | (0.0022) | (0.0043) | (0.0061) | |
GMT07_JST16 | 0.0030* | 0.0089* | \(-\) 0.0041 | \(-\) 0.0052** | 0.0101* | 0.0135* |
(0.0014) | (0.0037) | (0.0030) | (0.0020) | (0.0044) | (0.0060) | |
GMT08_JST17 | 0.0025 | 0.0088* | \(-\) 0.0051 | \(-\) 0.0052** | 0.0039 | 0.0080 |
(0.0013) | (0.0035) | (0.0028) | (0.0019) | (0.0042) | (0.0058) | |
GMT09_JST18 | 0.0028* | 0.0089* | \(-\) 0.0040 | \(-\) 0.0044* | 0.0058 | 0.0037 |
(0.0013) | (0.0036) | (0.0031) | (0.0020) | (0.0043) | (0.0061) | |
GMT10_JST19 | 0.0030* | 0.0076* | \(-\) 0.0064* | \(-\) 0.0050* | 0.0038 | \(-\) 0.0026 |
(0.0013) | (0.0036) | (0.0028) | (0.0021) | (0.0042) | (0.0056) | |
GMT11_JST20 | 0.0046*** | 0.0086* | \(-\) 0.0041 | \(-\) 0.0048* | 0.0046 | \(-\) 0.0053 |
(0.0013) | (0.0035) | (0.0029) | (0.0019) | (0.0041) | (0.0056) | |
GMT12_JST21 | 0.0076*** | 0.0125*** | \(-\) 0.0014 | \(-\) 0.0028 | 0.0066 | \(-\) 0.0061 |
(0.0013) | (0.0035) | (0.0037) | (0.0024) | (0.0041) | (0.0055) | |
GMT13_JST22 | 0.0077*** | 0.0122*** | \(-\) 0.0030 | \(-\) 0.0036 | 0.0111* | \(-\) 0.0011 |
(0.0013) | (0.0035) | (0.0031) | (0.0021) | (0.0043) | (0.0056) | |
GMT14_JST23 | 0.0065*** | 0.0111** | \(-\) 0.0049 | \(-\) 0.0048* | 0.0034 | \(-\) 0.0071 |
(0.0013) | (0.0035) | (0.0030) | (0.0021) | (0.0043) | (0.0057) | |
GMT15_JST00 | 0.0018 | 0.0015 | \(-\) 0.0017 | \(-\) 0.0037 | \(-\) 0.0122** | \(-\) 0.0251*** |
(0.0013) | (0.0034) | (0.0036) | (0.0023) | (0.0043) | (0.0057) | |
GMT16_JST01 | \(-\) 0.0022 | \(-\) 0.0061 | \(-\) 0.0020 | \(-\) 0.0035 | \(-\) 0.0301*** | \(-\) 0.0419*** |
(0.0013) | (0.0034) | (0.0035) | (0.0021) | (0.0042) | (0.0057) | |
GMT17_JST02 | \(-\) 0.0074*** | \(-\) 0.0183*** | 0.0005 | \(-\) 0.0031 | \(-\) 0.0489*** | \(-\) 0.0676*** |
(0.0013) | (0.0035) | (0.0044) | (0.0025) | (0.0042) | (0.0056) | |
GMT18_JST03 | \(-\) 0.0118*** | \(-\) 0.0300*** | \(-\) 0.0085** | \(-\) 0.0079*** | \(-\) 0.0549*** | \(-\) 0.0741*** |
(0.0013) | (0.0035) | (0.0029) | (0.0019) | (0.0044) | (0.0059) | |
GMT19_JST04 | \(-\) 0.0147*** | \(-\) 0.0405*** | \(-\) 0.0096*** | \(-\) 0.0087*** | \(-\) 0.0537*** | \(-\) 0.0783*** |
(0.0013) | (0.0034) | (0.0026) | (0.0018) | (0.0047) | (0.0064) | |
GMT20_JST05 | \(-\) 0.0125*** | \(-\) 0.0318*** | \(-\) 0.0088*** | \(-\) 0.0077*** | \(-\) 0.0534*** | \(-\) 0.0728*** |
(0.0013) | (0.0034) | (0.0026) | (0.0018) | (0.0043) | (0.0058) | |
GMT21_JST06 | \(-\) 0.0062*** | \(-\) 0.0164*** | \(-\) 0.0078** | \(-\) 0.0074*** | \(-\) 0.0329*** | \(-\) 0.0496*** |
(0.0013) | (0.0035) | (0.0029) | (0.0020) | (0.0043) | (0.0058) | |
GMT22_JST07 | \(-\) 0.0048*** | \(-\) 0.0127*** | \(-\) 0.0077** | \(-\) 0.0073*** | \(-\) 0.0138*** | \(-\) 0.0281*** |
(0.0013) | (0.0036) | (0.0027) | (0.0018) | (0.0041) | (0.0058) | |
GMT23_JST08 | \(-\) 0.0025 | \(-\) 0.0025 | \(-\) 0.0062* | \(-\) 0.0058** | \(-\) 0.0079 | \(-\) 0.0199*** |
(0.0013) | (0.0036) | (0.0028) | (0.0019) | (0.0042) | (0.0057) | |
logMeanp | 0.0208*** | 0.0356*** | \(-\) 0.0071*** | \(-\) 0.0043*** | 0.0490*** | 0.0264*** |
(0.0005) | (0.0015) | (0.0010) | (0.0007) | (0.0021) | (0.0028) | |
logCount | \(-\) 0.0397*** | \(-\) 0.0455*** | \(-\) 0.0028*** | 0.0002 | \(-\) 0.0550*** | \(-\) 0.0147*** |
(0.0006) | (0.0017) | (0.0005) | (0.0004) | (0.0021) | (0.0029) | |
logVolsum | 0.0374*** | 0.0435*** | 0.0018*** | \(-\) 0.0003 | 0.0548*** | 0.0189*** |
(0.0004) | (0.0011) | (0.0003) | (0.0002) | (0.0017) | (0.0022) | |
Rangep | 0.0826*** | 0.1180*** | 0.1390*** | 0.0975*** | 1.4985*** | 0.6918*** |
(0.0079) | (0.0214) | (0.0097) | (0.0077) | (0.0732) | (0.0985) | |
RV | 0.0330 | \(-\) 0.1635* | \(-\) 0.0070 | \(-\) 0.0097*** | \(-\) 0.3916** | \(-\) 0.6761*** |
(0.0253) | (0.0685) | (0.0038) | (0.0025) | (0.1229) | (0.1653) | |
\(N\) | 24,274 | 24,274 | 8,560 | 8,560 | 11,051 | 11,051 |
Log likelihood | 51,365.67 | 27,190.30 | 17,290.02 | 20,468.37 | 14,418.75 | 11,146.29 |
Wald Chi2(28) | 15,705.24*** | 3,472.24*** | 665.57*** | 391.47*** | 4,066.24*** | 1,634.90*** |