Single Curve Collapse of the Price Impact Function for the New York Stock Exchange

Journal article

We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse onto a single function, giving average price shift as a function of trade size. This function increases as a power that is the order of 1/2 for small volumes, but then increases more slowly for large volumes. We obtain similar results in each year from the period 1995 - 1998. We also find that small volume liquidity scales as a power of the stock capitalization.

Authors: Lillo, F; Farmer, J; Mantegna, R

• Publication date: 2002-07-17
• Keywords: cond-mat.stat-mech; q-fin.TR