The file mmm9912-dtp.dat contains the transactions data of the stock of (3 mathrm{M}) Company in December 1999.
Question:
The file "mmm9912-dtp.dat" contains the transactions data of the stock of \(3 \mathrm{M}\) Company in December 1999. There are three columns: day of the month, time of transaction in seconds from midnight, and transaction price. Transactions that occurred after 4:00 pm Eastern time are excluded.
(a) Is there a diurnal pattern in \(3 \mathrm{M}\) stock trading? You may construct a time series \(n_{t}\), which denotes the number of trades in 5-minute time interval to answer this question.
(b) Use the price series to confirm the existence of bid-ask bounce in intraday trading of \(3 \mathrm{M}\) stock.
(c) Tabulate the frequencies of price change in multiples of tick size \(\$ 1 / 16\). You may combine changes with 5 ticks or more into a category and those with -5 ticks or beyond into another category.
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