Hey everyone!
I have a full year of data on 20 stocks (little over 200 trading days, each stock is in a different file). I separated each trading day into 17 intervals of 30 minutes and did my regression (so 16 dummies with one reference interval). This is my regression for those interested:
Price change = alpha + beta*OFI + gamma1*dummy1 + … + gamma16*dummy16 + kappa1*OFI*dummy1 + ... + kappa16*OFI*dummy16 + epsilon
Now I would like to make a graph where I can plot price change on the Y-axis and the 17 intervals on the X-axis. So I would like to plot the median/average of price change for each interval (so based on those 200 days). For now I would be very happy if I could plot this for each stock separately, if it is not too complicated however: would then be able to combine all stocks in one graph?
Thank you in advance! If you need any more information on these, please do not hesitate to send me a message!
Kathy
I have a full year of data on 20 stocks (little over 200 trading days, each stock is in a different file). I separated each trading day into 17 intervals of 30 minutes and did my regression (so 16 dummies with one reference interval). This is my regression for those interested:
Price change = alpha + beta*OFI + gamma1*dummy1 + … + gamma16*dummy16 + kappa1*OFI*dummy1 + ... + kappa16*OFI*dummy16 + epsilon
Now I would like to make a graph where I can plot price change on the Y-axis and the 17 intervals on the X-axis. So I would like to plot the median/average of price change for each interval (so based on those 200 days). For now I would be very happy if I could plot this for each stock separately, if it is not too complicated however: would then be able to combine all stocks in one graph?
Thank you in advance! If you need any more information on these, please do not hesitate to send me a message!
Kathy
