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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 status:
Published

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Publisher copy:
10.1103/physreve.80.066102

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
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Journal:
Physical review. E, Statistical, nonlinear, and soft matter physics
Volume:
80
Issue:
6 Pt 2
Pages:
066102
Publication date:
2009-12-01
DOI:
EISSN:
1550-2376
ISSN:
1539-3755
Source identifiers:
387692
Language:
English
Keywords:
Pubs id:
pubs:387692
UUID:
uuid:bea11283-c490-4554-8706-cdbbbcc23dd2
Local pid:
pubs:387692
Deposit date:
2013-11-16

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