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Market Impact and Trading Profile of Hidden Orders in Stock Markets

Abstract:

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grow...

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Publication date:
2009-12-05
URN:
uuid:88a270db-8bdb-4607-b417-9e28009e446a
Local pid:
oai:eureka.sbs.ox.ac.uk:2728

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