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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Abstract/Index

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

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
Date Deposited: 02 Nov 2009 09:51
Last Modified: 21 Apr 2015 23:11
URI: http://eprints.luiss.it/id/eprint/287

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