Here is some data regarding price durations.
The price durations are for BOEING, DISNEY, IBM and EXXON.
The filtering was made at 1/8$ (on the midpoint of the bid-ask quotes).


Le fichier final comprend 16 colonnes:
1 -index (bid/ask quotes)
2 -duration (bid/ask quotes)
3 -bid
4 -ask
5 -signe du changement: +1 ou -1
6 -volume cumul des trades sur la duration (rmq: 6=7+8)
7 -volume cumul de transactions ask sur la duration
8 -volume cumul de transactions bid sur la duration
9 -sx (tod standardized duration)
10 -nombre de transactions ask sur la duration
11 -nombre de transactions bid sur la duration
12 -(nombre total de transactions sur la duration) standardis = trading
intensity standardise
13 -(volume total/nbre transactions) standardis = average
volume/transaction standardis
14 -(volume total/nbre transactions) non standardis =  average
volume/transaction non standardis
15 -average spread sur la duration
16 -(volume total/duration) standardis = volume intensity standardis



Pierre