Market Impact and Trading Protocols of Hidden Orders in Stock Markets
Moro, Esteban and Vicente, Javier and Moyano, Luis G. and Gerig, Aurig and Farmer, Doyne James and Vaglica, Gabriella and Lillo, Fabrizio and Mantegna, Rosario N. (2009) Market Impact and Trading Protocols of Hidden Orders in Stock Markets. [Working Paper]. p. 9.
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Official URL: http://arxiv.org/PS_cache/arxiv/pdf/0908/0908.0202...
We empirically study the market impact of trading orders. We are specically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We nd that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power-law; after the order is nished, it reverts to a level of about 0:5 0:7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.
|Item Type:||Report / Paper (Working Paper)|
|Research documents and activity classification:||Working Papers > Refereed Working Papers / of international relevance|
|Divisions:||Department of Business and Management|
|MIUR Scientific Area:||Area 13 - Economics and Statistics > SECS-P/06 Applied Economics|
|Deposited By:||Silvia Capobianchi|
|Deposited On:||02 Nov 2009 10:51|
|Last Modified:||17 Apr 2013 20:33|
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